0001752724-22-168682.txt : 20220728
0001752724-22-168682.hdr.sgml : 20220728
20220728094759
ACCESSION NUMBER: 0001752724-22-168682
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220531
FILED AS OF DATE: 20220728
DATE AS OF CHANGE: 20220728
PERIOD START: 20221130
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: James Alpha Funds Trust
CENTRAL INDEX KEY: 0001829774
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0831
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-23611
FILM NUMBER: 221113149
BUSINESS ADDRESS:
STREET 1: 515 MADISON AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10022
BUSINESS PHONE: 888-814-8180
MAIL ADDRESS:
STREET 1: 515 MADISON AVENUE
CITY: NEW YORK
STATE: NY
ZIP: 10022
0001829774
S000070607
Easterly Income Opportunities Fund
C000224285
Easterly Income Opportunities Fund Class A
JASVX
C000224286
Easterly Income Opportunities Fund Class C
JSVCX
C000224287
Easterly Income Opportunities Fund Class R6
JASSX
C000224288
Easterly Income Opportunities Fund Class I
JSVIX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001829774
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C000224285
C000224287
C000224286
C000224288
James Alpha Funds Trust
811-23611
0001829774
5493007JDS1R5QEQGK05
515 Madison Ave
New York
10022
646-201-4042
Easterly Income Opportunity Fund
S000070607
5493001V2WFB1F6L7V25
2022-11-30
2022-05-31
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364115587.25
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
1510340.53000000
EUR
USD
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CSMC 2021-RPL2 TRUST
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CSMC 2021-RPL2 M3
12656TAF5
279423.00000000
PA
USD
221080.54000000
0.060717131521
Long
ABS-O
CORP
US
Y
2
2060-01-25
Floating
3.38396800
N
N
N
N
N
N
Credit Suisse, Nassau Branch
N/A
CS 10 01/29/31
22546VTV8
220000.00000000
PA
USD
188100.00000000
0.051659419861
Long
DBT
CORP
CH
N
2
2031-01-29
Floating
8.17000700
N
N
N
N
N
N
Residential Asset Mortgage Products, Inc.
N/A
GMACM 2005-AR5 4A1
76112BYD6
2555785.14890000
PA
USD
2327203.14000000
0.639138565194
Long
ABS-O
CORP
US
N
2
2035-09-19
Floating
2.63610400
N
N
N
N
N
N
Cascade Funding Mortgage Trust
N/A
CFMT 2019-RM3 D
147271AD2
1020946.56000000
PA
USD
970541.82000000
0.266547726596
Long
ABS-O
CORP
US
Y
2
2069-06-25
Floating
4.00000000
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST
N/A
LMAT 2020-GS5 A1
52475JAA3
387957.77050000
PA
USD
383678.09000000
0.105372607884
Long
ABS-O
CORP
US
N
2
2060-06-25
Floating
3.25000100
N
N
N
N
N
N
GS Mortgage Securities Trust 2014-G
N/A
GSMS 2014-GC18 B
36252RBC2
1702000.00000000
PA
USD
1575353.84000000
0.432652128929
Long
ABS-O
CORP
US
N
2
2047-01-10
Floating
4.88499800
N
N
N
N
N
N
VELOCITY COMMERCIAL CAPITAL LOAN TRUST 2022-2
N/A
VCC 2022-2 M1
92259UAB4
1495765.75000000
PA
USD
1486135.26000000
0.408149310833
Long
ABS-O
CORP
US
Y
2
2052-04-25
Floating
5.41000100
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 09/27/28
61760QDJ0
1015000.00000000
PA
USD
796775.00000000
0.218824743543
Long
DBT
CORP
US
N
2
2028-09-27
Floating
3.12000200
N
N
N
N
N
N
J.P. Morgan Chase Commercial Mortgage Securities Trust
N/A
JPMCC 2012-WLDN A
46637TAA8
3121644.13090000
PA
USD
2528531.75000000
0.694431064898
Long
ABS-O
CORP
US
Y
2
2030-05-05
Fixed
3.91000000
N
N
N
N
N
N
COREVEST AMERICAN FINANCE TRUST
N/A
CAFL 2021-2 D
21873BAL9
1000000.00000000
PA
USD
849075.00000000
0.233188314296
Long
ABS-O
CORP
US
Y
2
2054-07-15
Fixed
2.83100000
N
N
N
N
N
N
Morgan Stanley
N/A
MS CDS USD SR 5Y D14
N/A
20000000.00000000
PA
USD
-129368.00000000
-0.03552937707
Long
DCR
CORP
N/A
N
2
GOLDMAN SACHS
N/A
Morgan Stanley
Morgan Stanley
Y
N/A
2025-06-20
0.00000000
USD
-240209.89000000
USD
20000000.00000000
USD
110841.89000000
N
N
N
PROVIDENT FUNDING MORTGAGE TRUST
N/A
PFMT 2021-2 A1
74388JAA3
1849454.72000000
PA
USD
1664509.25000000
0.457137598137
Long
ABS-O
CORP
US
Y
2
2051-04-25
Floating
2.49999800
N
N
N
N
N
N
Credit Suisse AG London Branch
N/A
CS FLOAT 10/31/31
22548QKB0
1024000.00000000
PA
USD
855040.00000000
0.234826530349
Long
DBT
CORP
CH
N
2
2031-10-31
Floating
7.99999900
N
N
N
N
N
N
Citigroup Inc.
6SHGI4ZSSLCXXQSBB395
C FLOAT 12/29/34
1730T03J6
507000.00000000
PA
USD
340957.50000000
0.093639907748
Long
DBT
CORP
US
N
2
2034-12-29
Floating
0.00010100
N
N
N
N
N
N
Global Mortgage Securitization Ltd.
N/A
GMSL 2004-A A1
378961AA4
9845637.78000000
PA
USD
9598401.02000000
2.636086274826
Long
ABS-O
CORP
KY
Y
2
2032-11-25
Fixed
5.25000000
N
N
N
N
N
N
GS Mortgage Securities Corp
CU46ESEFJB81SUVBJO28
GSR 2004-7 1A1
36228F4P8
14556.43000000
PA
USD
13323.21000000
0.003659060602
Long
ABS-O
CORP
US
N
2
2034-06-25
Floating
3.03742400
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 05/29/35
61760QGD0
73000.00000000
PA
USD
74642.50000000
0.020499671701
Long
DBT
CORP
US
N
2
2035-05-29
Floating
8.99999800
N
N
N
N
N
N
GE Capital Mortgage Services Inc
N/A
GECMS 1999-HE1 A6
36157RD77
100919.65000000
PA
USD
96815.01000000
0.026589086924
Long
ABS-O
CORP
US
N
2
2029-04-25
Floating
6.70000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST
N/A
AOMT 2019-4 B1
03463UAE7
3000000.00000000
PA
USD
2807189.40000000
0.770961062447
Long
ABS-O
CORP
US
Y
2
2049-07-26
Floating
4.41200200
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2004-28CB 3A1
12667FYS8
92514.39700000
PA
USD
87773.72000000
0.024106004541
Long
ABS-O
CORP
US
N
2
2035-01-25
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS 10 12/31/34
61760QFN9
230000.00000000
PA
USD
159275.00000000
0.043742977663
Long
DBT
CORP
US
N
2
2034-12-31
Floating
0.00010100
N
N
N
N
N
N
Morgan Stanley Finance LLC.
5493003FCPSE9RKT4B56
MS 9 01/31/37
61766YAZ4
1269000.00000000
PA
USD
1132582.50000000
0.311050265261
Long
DBT
CORP
US
N
2
2037-01-31
Floating
0.00009900
N
N
N
N
N
N
JP Morgan Alt Loan
N/A
JPALT 2005-S1 1A8
46627MAH0
248357.40940000
PA
USD
45860.93000000
0.012595157034
Long
ABS-O
CORP
US
N
2
2035-12-25
Floating
6.14428900
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2005-J11 1A3
12668AJB2
56330.71000000
PA
USD
37980.45000000
0.010430877262
Long
ABS-O
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS 10 09/30/30
61760QHJ6
285000.00000000
PA
USD
233700.00000000
0.064182915585
Long
DBT
CORP
US
N
2
2030-09-30
Floating
0.00010100
N
N
N
N
N
N
C-Bass Mortgage Loan Asset-Backed Certificates
N/A
CBASS 2007-SP1 A4
1248MAAD9
4713.22180000
PA
USD
4694.66000000
0.001289332334
Long
ABS-O
CORP
US
Y
2
2037-12-25
Floating
4.72112300
N
N
N
N
N
N
Structured Adj Rate Mtg Loan Trust
N/A
SARM 2005-4 1A1
863579MP0
102658.22870000
PA
USD
89170.81000000
0.024489698634
Long
ABS-O
CORP
US
N
2
2035-03-25
Floating
2.70596500
N
N
N
N
N
N
Impac CMB Trust
N/A
JPMCC 2012-C8 B
46638UAK2
331786.00000000
PA
USD
330836.81000000
0.090860381039
Long
ABS-O
CORP
US
Y
2
2045-10-15
Floating
3.97670000
N
N
N
N
N
N
Merrill Lynch Mtg Inv Trust
N/A
MLCC 2007-3 2A2
59022XAD9
53449.68850000
PA
USD
43273.18000000
0.011884462383
Long
ABS-O
CORP
US
N
2
2037-09-25
Floating
1.79740800
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS FLOAT 06/29/29
61761JRD3
100000.00000000
PA
USD
98750.00000000
0.027120508832
Long
DBT
CORP
US
N
2
2029-06-29
Floating
6.00000100
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 03/31/35
61760QFU3
438000.00000000
PA
USD
316455.00000000
0.086910588582
Long
DBT
CORP
US
N
2
2035-03-31
Floating
0.00009900
N
N
N
N
N
N
Nomura America Finance LLC
549300U646RSSKIVOJ29
NOMURA Float 02/28/34
65539ABB5
65000.00000000
PA
USD
44314.08000000
0.012170333144
Long
DBT
CORP
US
N
2
2034-02-28
Floating
0.07999900
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 04/30/30
61760QFX7
3588000.00000000
PA
USD
2951130.00000000
0.810492630180
Long
DBT
CORP
US
N
2
2030-04-30
Floating
6.11000100
N
N
N
N
N
N
Ameriquest Mortgage Securities
N/A
AMSI 2002-2 M3
03072SCJ2
542856.22500000
PA
USD
541797.38000000
0.148798183591
Long
ABS-O
CORP
US
N
2
2032-08-25
Floating
3.66071000
N
N
N
N
N
N
WINWATER MTG LN TR 2015-4
5493006H0W2XGUBIBK91
WIN 2015-1 B2
97652TBC6
238998.67500000
PA
USD
227620.76000000
0.062513324881
Long
ABS-O
CORP
US
Y
2
2045-01-20
Floating
3.88239800
N
N
N
N
N
N
CWMBS Inc
N/A
CWALT 2003-J3 2A1
12669FFD0
48670.27000000
PA
USD
48050.92000000
0.013196611648
Long
ABS-O
CORP
US
N
2
2033-12-25
Fixed
6.25000000
N
N
N
N
N
N
Natixis US Medium Term Note Program LLC
549300MPTYP2BAQOK371
KNFP Float 03/31/36
63873HEZ3
618000.00000000
PA
USD
463500.00000000
0.127294742721
Long
DBT
CORP
US
N
2
2036-03-31
Floating
0.00009900
N
N
N
N
N
N
National City Mtg
N/A
NATCM 2008-1 2A2
635419AF1
28226.80080000
PA
USD
28061.11000000
0.007706648927
Long
ABS-O
CORP
US
N
2
2038-03-25
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley ABS Capital I Inc
549300RLSHIMYD3FZB52
MSAC 2003-SD1 M2
61746RCG4
317716.21680000
PA
USD
290673.39000000
0.079829977122
Long
ABS-O
CORP
US
N
2
2033-03-25
Floating
4.90570900
N
N
N
N
N
N
Preferred Term Securities IV Ltd/Inc
549300EDHELI2Z97XO34
PRETSL FLOAT 12/23/31
74040TAC7
357754.74000000
PA
USD
353282.81000000
0.097024907026
Long
ABS-O
CORP
KY
Y
2
2031-12-23
Floating
3.19813900
N
N
N
N
N
N
Bear Stearns Alternative A Trust
N/A
BALTA 2004-11 2A1
07386HMV0
4510.48000000
PA
USD
4405.99000000
0.001210052564
Long
ABS-O
CORP
US
N
2
2034-11-25
Floating
2.77359500
N
N
N
N
N
N
Bear Stearns Arm Trust
N/A
BSARM 2004-1 21A1
07384MK27
13407.34400000
PA
USD
12334.80000000
0.003387605593
Long
ABS-O
CORP
US
N
2
2034-04-25
Floating
2.33893100
N
N
N
N
N
N
1ST Horizon 06-Ar3
N/A
FHASI 2006-AR3 1A1
32052EAA7
121199.97000000
PA
USD
90350.21000000
0.024813606767
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
2.43133600
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2003-7 6A1
576434HH0
58186.18000000
PA
USD
57388.49000000
0.015761063796
Long
ABS-O
CORP
US
N
2
2033-12-25
Fixed
6.50000000
N
N
N
N
N
N
CSMC Mortgage-Backed Trust
N/A
CSFB 2005-10 2A1
225470DV2
5993.99000000
PA
USD
346.42000000
0.000095140118
Long
ABS-O
CORP
US
N
2
2022-11-25
Fixed
5.25000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2004-3 2A1
576434NV2
81643.92350000
PA
USD
80674.52000000
0.022156293996
Long
ABS-O
CORP
US
N
2
2034-04-25
Fixed
6.25000000
N
N
N
N
N
N
Ubs-Barclays Commercial Mortgage Trust 2012-C2
N/A
UBSBB 2012-C2 BEC
90269CAM2
981000.00000000
PA
USD
839602.93000000
0.230586923328
Long
ABS-O
CORP
US
Y
2
2063-05-10
Floating
4.75631300
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS 9 11/30/35
61760QJD7
109000.00000000
PA
USD
111452.50000000
0.030609098841
Long
DBT
CORP
US
N
2
2035-11-30
Floating
9.00000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp
N/A
CSFB 2005-8 9A9
2254582T4
124238.25200000
PA
USD
88372.57000000
0.024270471546
Long
ABS-O
CORP
US
N
2
2035-09-25
Floating
1.65570800
N
N
N
N
N
N
BBH
N/A
BBH SWEEP VEHICLE
N/A
36993549.58000000
PA
USD
36993549.58000000
10.15983684175
Long
STIV
US
N
1
N
N
N
Aspen Funding I Ltd/(Delaware)Corp
549300IVP8JA0QFOPS57
ASPEN 2002-1X B1
G0538QAD8
658990.26500000
PA
USD
674166.81000000
0.185151867595
Long
ABS-CBDO
CORP
KY
Y
2
2037-07-10
Fixed
9.06000000
N
N
N
N
N
N
ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST
N/A
AMMST 2020-MF1 E
03881BAS2
1000000.00000000
PA
USD
704764.80000000
0.193555240335
Long
ABS-O
CORP
US
Y
2
2053-05-15
Fixed
1.75000000
N
N
N
N
N
N
Morgan Stanley Finance LLC.
5493003FCPSE9RKT4B56
MS 14 04/30/33
61766YCR0
498000.00000000
PA
USD
413340.00000000
0.113518897425
Long
DBT
CORP
US
N
2
2033-04-30
Floating
10.00000100
N
N
N
N
N
N
RMF PROPRIETARY ISSUANCE TRUST 2022-1
N/A
RPIT 2022-1 M1
74969XAB7
1000000.00000000
PA
USD
859937.50000000
0.236171570268
Long
ABS-O
CORP
US
Y
2
2062-01-25
Floating
2.99999900
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 04/30/35
61760QFY5
532000.00000000
PA
USD
546630.00000000
0.150125404992
Long
DBT
CORP
US
N
2
2035-04-30
Floating
8.99999800
N
N
N
N
N
N
First Franklin Mortgage Loan Trust
N/A
SASC 2005-RF2 A
86359DEX1
91016.34000000
PA
USD
87101.62000000
0.023921420298
Long
ABS-O
CORP
US
Y
2
2035-04-25
Floating
1.35571000
N
N
N
N
N
N
Cendant Mtg Corp
N/A
CDMC 2004-1 A7
151314GB1
1065323.75910000
PA
USD
1035114.80000000
0.284281924818
Long
ABS-O
CORP
US
N
2
2034-02-25
Fixed
5.50000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corporation
S6XOOCT0IEG5ABCC6L87
FHR 4910 MI
3137FNH29
1158683.89000000
PA
USD
162178.67000000
0.044540435971
Long
ABS-O
USGSE
US
N
2
2049-08-25
Fixed
4.00000000
N
N
N
N
N
N
Aps Resecuritization Tr
N/A
APS 2016-3 3A
00214WAE1
460325.58000000
PA
USD
459998.01000000
0.126332962967
Long
ABS-O
CORP
US
Y
2
2046-09-27
Floating
3.85571200
N
N
N
N
N
N
GOODGREEN TRUST
N/A
GOODG 2021-1A C
38217UAC6
2572992.60000000
PA
USD
2346232.19000000
0.644364666648
Long
ABS-O
CORP
US
Y
2
2056-10-15
Fixed
5.74000000
N
N
N
N
N
N
Homebanc Mtg Trust
N/A
HMBT 2005-3 M3
43739EBN6
85000.00000000
PA
USD
83653.89000000
0.022974542406
Long
ABS-O
CORP
US
N
2
2035-07-25
Floating
1.77071000
N
N
N
N
N
N
CWMBS Inc
549300430UQIJMFG3R47
CWHL 2005-J2 3A12
12669GW31
586236.39000000
PA
USD
400086.87000000
0.109879083458
Long
ABS-O
CORP
US
N
2
2035-08-25
Fixed
5.00000000
N
N
N
N
N
N
Csmc Tr
N/A
CSMC 2015-1 B4
12649NAV3
1419252.40000000
PA
USD
1242497.29000000
0.341237050405
Long
ABS-O
CORP
US
Y
2
2045-01-25
Floating
3.93498400
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2005-12R A3
12667GAR4
49309.70000000
PA
USD
47447.45000000
0.013030875815
Long
ABS-O
CORP
US
N
2
2034-11-25
Fixed
6.00000000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
LMT 2006-2 2A3
52520MGL1
173909.27600000
PA
USD
174024.72000000
0.047793812210
Long
ABS-O
CORP
US
N
2
2036-04-25
Fixed
5.75000000
N
N
N
N
N
N
Towd Point Mortgage Trust 2015-1
N/A
TPMT 2015-1 A5
89171DAE7
930000.00000000
PA
USD
918514.78000000
0.252259121049
Long
ABS-O
CORP
US
Y
2
2053-10-25
Floating
3.18329300
N
N
N
N
N
N
Lloyds Bank plc
H7FNTJ4851HG0EXQ1Z70
LLOYDS FLOAT 11/27/33
5394E8CE7
655000.00000000
PA
USD
427447.76000000
0.117393425320
Long
DBT
CORP
GB
N
2
2033-11-27
Floating
0.00010100
N
N
N
N
N
N
Citigroup Global Markets Holdings Inc.
82VOJDD5PTRDMVVMGV31
C 10 03/29/34
17326YL95
200000.00000000
PA
USD
192000.00000000
0.052730508311
Long
DBT
CORP
US
N
2
2034-03-29
Fixed
10.00000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST
N/A
MSC 2014-150E AS
61764BAG8
420000.00000000
PA
USD
405880.94000000
0.111470355626
Long
ABS-O
CORP
US
Y
2
2032-09-09
Fixed
4.01200000
N
N
N
N
N
N
LONGTRAIN LEASING III LLC
N/A
LTRAN 2015-1A A2
543190AB8
98019.02800000
PA
USD
92674.71000000
0.025452002947
Long
ABS-O
CORP
US
Y
2
2045-01-15
Fixed
4.06000000
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2005-54CB 1A11
12668APD1
39875.91540000
PA
USD
33912.17000000
0.009313572719
Long
ABS-O
CORP
US
N
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley ML
N/A
MSM 2006-8AR 4A2
61749LAK7
24159.77800000
PA
USD
23378.90000000
0.006420735837
Long
ABS-O
CORP
US
N
2
2036-06-25
Floating
1.97804900
N
N
N
N
N
N
Bayview Commercial Asset Trust 2006-SP2
N/A
BAYC 2008-2 A4A
07326HAJ3
2967564.99000000
PA
USD
2916960.88000000
0.801108489210
Long
DBT
CORP
US
Y
2
2038-04-25
Floating
3.50570900
N
N
N
N
N
N
Nomura Home Equity
N/A
NHELI 2006-HE2 M1
65536MAE7
104990.00000000
PA
USD
94619.21000000
0.025986036663
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
1.50071000
N
N
N
N
N
N
MERCURY FINANCIAL CREDIT CARD MASTER TRUST
N/A
MFCC 2021-1A B
58940BAB2
750000.00000000
PA
USD
727337.25000000
0.199754494305
Long
ABS-O
CORP
US
Y
2
2026-03-20
Fixed
2.33000000
N
N
N
N
N
N
Equity One, Inc.
N/A
EQABS 2002-3 M1
294751AV4
150236.37200000
PA
USD
147803.04000000
0.040592340777
Long
ABS-O
CORP
US
N
2
2032-11-25
Floating
6.03900000
N
N
N
N
N
N
Wf-Rbs Commercial Mtg Tst 2012-C7
N/A
WFRBS 2012-C7 B
92936TAD4
2322000.00000000
PA
USD
2303987.78000000
0.632762743666
Long
ABS-O
CORP
US
N
2
2045-06-15
Floating
4.56550900
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
CMLTI 2005-6 A1
17307GXP8
63991.16000000
PA
USD
58992.66000000
0.016201629939
Long
ABS-O
CORP
US
N
2
2035-09-25
Floating
2.18999900
N
N
N
N
N
N
Impac Secured Assets Corp
N/A
IMSA 2006-1 2A1
45254TTN4
94828.31000000
PA
USD
91755.78000000
0.025199629791
Long
ABS-O
CORP
US
N
2
2036-05-25
Floating
1.70570900
N
N
N
N
N
N
Cendant Mortgage Capital Llc
N/A
CDMC 2004-4 A8
15132EJW9
101941.38400000
PA
USD
97035.79000000
0.026649721516
Long
ABS-O
CORP
US
N
2
2034-09-25
Floating
5.47068200
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
BACR 10 10/18/28
06741TS24
50000.00000000
PA
USD
42687.50000000
0.011723612362
Long
DBT
CORP
GB
N
2
2028-10-18
Floating
3.27600000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp
N/A
CSFB 2002-9 1A2
22540VG71
325555.20000000
PA
USD
324333.72000000
0.089074384991
Long
ABS-O
CORP
US
N
2
2032-03-25
Fixed
7.50000000
N
N
N
N
N
N
Bayview Cml Asst T
N/A
BAYC 2007-3 M4
07325YAF5
1191915.02430000
PA
USD
1069329.90000000
0.293678693646
Long
ABS-O
CORP
US
Y
2
2037-07-25
Floating
1.50571100
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
BACR FLOAT 08/15/33
06741TZW0
75000.00000000
PA
USD
53812.50000000
0.014778960825
Long
DBT
CORP
GB
N
2
2033-08-15
Floating
0.36000000
N
N
N
N
N
N
SOUTHERN PACIFIC SECD ASSETS CORP
N/A
SPSAC 1997-2 M1F
843590BQ2
213328.16210000
PA
USD
216162.87000000
0.059366552152
Long
ABS-O
CORP
US
N
2
2027-05-25
Fixed
7.32000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JPMMT 2014-IVR3 B3
46643BBA8
2829349.16730000
PA
USD
2826803.60000000
0.776347868364
Long
ABS-O
CORP
US
Y
2
2044-09-25
Floating
2.42487700
N
N
N
N
N
N
Wamu Mortgage Pass-Through CTFS TR
N/A
WAMU 2003-S4 CB1
9292275Q5
533555.72000000
PA
USD
515448.55000000
0.141561791927
Long
ABS-O
CORP
US
N
2
2033-06-25
Floating
5.65015700
N
N
N
N
N
N
CWABS Inc.
N/A
CWL 2004-SD3 B1
126673FP2
75255.82500000
PA
USD
75689.51000000
0.020787220500
Long
ABS-O
CORP
US
Y
2
2032-11-25
Floating
5.50571000
N
N
N
N
N
N
GS Mortgage Securities Corp
CU46ESEFJB81SUVBJO28
GSR 2005-AR3 2A1
36242D4S9
14703.80590000
PA
USD
12840.40000000
0.003526462598
Long
ABS-O
CORP
US
N
2
2035-05-25
Floating
1.44571000
N
N
N
N
N
N
Master Asset Securitization Trust
N/A
MASTR 2003-11 8A1
55265K2N8
48508.27810000
PA
USD
46735.54000000
0.012835358231
Long
ABS-O
CORP
US
N
2
2033-12-25
Fixed
5.50000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp
N/A
CSFB 2003-25 1A8
22541QYL0
81203.69000000
PA
USD
79551.78000000
0.021847946856
Long
ABS-O
CORP
US
N
2
2033-10-25
Fixed
5.50000000
N
N
N
N
N
N
RMF Proprietary Issuance Trust
N/A
RPIT 2021-2 M1
74969VAB1
1006924.15000000
PA
USD
831360.48000000
0.228323232817
Long
ABS-O
CORP
US
Y
2
2061-09-25
Floating
2.12500100
N
N
N
N
N
N
Morgan Stanley Finance LLC.
549300YTG00DJS1TOQ38
MS 9 09/30/36
61766YAP6
788000.00000000
PA
USD
703290.00000000
0.193150204118
Long
DBT
CORP
US
N
2
2036-09-30
Floating
0.00009900
N
N
N
N
N
N
Morgan Stanley ML
N/A
MSM 2004-8AR 2A
61748HED9
30171.21000000
PA
USD
27817.34000000
0.007639700406
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
1.14610000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 10/30/30
61760QHW7
151000.00000000
PA
USD
124575.00000000
0.034213036838
Long
DBT
CORP
US
N
2
2030-10-30
Floating
2.35899900
N
N
N
N
N
N
C-Bass
N/A
CBASS 2004-CB4 A5
12489WJP0
1199553.48000000
PA
USD
1128172.97000000
0.309839240478
Long
ABS-O
CORP
US
N
2
2035-05-25
Floating
6.77999900
N
N
N
N
N
N
Lehman Abs Corp
N/A
MSDWC 2003-HYB1 A3
61746WB90
110387.68000000
PA
USD
98776.79000000
0.027127866386
Long
ABS-O
CORP
US
N
2
2033-03-25
Floating
1.60400200
N
N
N
N
N
N
Societe Generale S.A.
O2RNE8IBXP4R0TD8PU41
SOCGEN 21 10/29/32
83369EE55
644000.00000000
PA
USD
508760.00000000
0.139724861504
Long
DBT
CORP
FR
N
2
2032-10-29
Floating
10.00000100
N
N
N
N
N
N
Morgan Stanley Capital I Trust 2015-Ms1
N/A
MSC 2015-MS1 D
61765DAC2
200000.00000000
PA
USD
174270.48000000
0.047861307261
Long
ABS-O
CORP
US
Y
2
2048-05-15
Floating
4.03493000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS FLOAT 09/16/31
61745EL58
228200.00000000
PA
USD
180278.00000000
0.049511200924
Long
DBT
CORP
US
N
2
2031-09-16
Floating
5.69100000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FNGT 2002-T10 A1
31392DUM2
113081.83000000
PA
USD
110178.33000000
0.030259163259
Long
ABS-O
USGSE
US
N
2
2032-06-25
Floating
1.24571200
N
N
N
N
N
N
VISTA POINT SECURITIZATION TRUST
N/A
VSTA 2020-2 B1
92838TAE1
100000.00000000
PA
USD
92500.00000000
0.025404020931
Long
ABS-O
CORP
US
Y
2
2065-04-25
Floating
4.90000000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
VCC 2018-1 M6
92257AAJ3
569823.94000000
PA
USD
526564.50000000
0.144614654916
Long
ABS-O
CORP
US
Y
2
2048-04-25
Fixed
7.26000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS 10 10/30/30
61760QHY3
171000.00000000
PA
USD
122805.53000000
0.033727073023
Long
DBT
CORP
US
N
2
2030-10-30
Floating
0.00010100
N
N
N
N
N
N
Bear Stearns Asset Backed Securities I Trust
N/A
BSABS 2006-AC2 21A6
07387UGU9
603450.59000000
PA
USD
248076.97000000
0.068131378794
Long
ABS-O
CORP
US
N
2
2036-03-25
Fixed
6.00000000
N
N
N
N
N
N
Hmh Tr 2017-Nss
N/A
HMH 2017-NSS A
40390AAA9
700000.00000000
PA
USD
682551.32000000
0.187454573190
Long
ABS-O
CORP
US
Y
2
2031-07-05
Fixed
3.06220000
N
N
N
N
N
N
Csail Commercial Mortgage Trust
549300D5DIOOMKWXVZ20
CSAIL 2015-C2 C
12634NAZ1
1350000.00000000
PA
USD
1227445.65000000
0.337103297134
Long
ABS-O
CORP
US
N
2
2057-06-15
Floating
4.17755500
N
N
N
N
N
N
NatWest Group PLC
RR3QWICWWIPCS8A4S074
NWG Float 08/26/31
78009PBK6
100000.00000000
PA
USD
68000.00000000
0.018675388360
Long
DBT
CORP
GB
N
2
2031-08-26
Floating
0.00010100
N
N
N
N
N
N
Impac CMB Trust
N/A
IMM 2004-7 M4
45254NKN6
43406.79500000
PA
USD
42230.64000000
0.011598141216
Long
ABS-O
CORP
US
N
2
2034-11-25
Floating
2.80571000
N
N
N
N
N
N
US AUTO FUNDING TRUST 2021-1
N/A
USAUT 2021-1A D
90355EAD3
3500000.00000000
PA
USD
3260012.00000000
0.895323384703
Long
ABS-O
CORP
US
Y
2
2027-03-15
Fixed
4.36000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS FLOAT 10/31/34
61760QFE9
233000.00000000
PA
USD
173002.50000000
0.047513071688
Long
DBT
CORP
US
N
2
2034-10-31
Floating
0.00010100
N
N
N
N
N
N
GS Mortgage Securities Corp
CU46ESEFJB81SUVBJO28
GSMPS 2005-RP2 1AF
36242DT52
37400.84600000
PA
USD
36324.79000000
0.009976170005
Long
ABS-O
CORP
US
Y
2
2035-03-25
Floating
1.35571000
N
N
N
N
N
N
Structured Asset Securities Corp.
N/A
SASC 2004-4XS A3A
86359BHJ3
16440.42360000
PA
USD
15652.18000000
0.004298684414
Long
ABS-O
CORP
US
N
2
2034-02-25
Floating
5.16538400
N
N
N
N
N
N
Jefferies Group LLC/Jefferies Group Capital Finance Inc
NY9Q8VBNB6D1L6YV0J84
JEF 8 08/31/37
47233JAV0
229000.00000000
PA
USD
166025.00000000
0.045596784596
Long
DBT
CORP
US
N
2
2037-08-31
Floating
7.99999900
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp
N/A
CSFB 2003-25 1A11
22541QF56
243611.08000000
PA
USD
238958.64000000
0.065627138295
Long
ABS-O
CORP
US
N
2
2033-10-25
Fixed
5.50000000
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2004-J8 2A1
12667FSH9
137416.80980000
PA
USD
118516.36000000
0.032549103677
Long
ABS-O
CORP
US
N
2
2034-08-25
Fixed
7.00000000
N
N
N
N
N
N
Towd Point Mortgage Trust 2015-1
N/A
TPMT 2015-1 B1
89171DAG2
230000.00000000
PA
USD
206213.95000000
0.056634200023
Long
ABS-O
CORP
US
Y
2
2053-10-25
Floating
3.18329300
N
N
N
N
N
N
Citigroup Inc.
6SHGI4ZSSLCXXQSBB395
C 10 08/31/35
1730T3AV5
55000.00000000
PA
USD
37950.00000000
0.010422514533
Long
DBT
CORP
US
N
2
2035-08-31
Floating
0.00010100
N
N
N
N
N
N
Deutsche Bank AG
N/A
DB Float 11/26/34
25152RXG3
961000.00000000
PA
USD
641467.50000000
0.176171392398
Long
DBT
CORP
DE
N
2
2034-11-26
Floating
0.00010100
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS 8 12/23/35
61760QJF2
134000.00000000
PA
USD
137685.00000000
0.037813541859
Long
DBT
CORP
US
N
2
2035-12-23
Floating
8.99999800
N
N
N
N
N
N
Z CAPITAL CREDIT PARTNERS
N/A
ZCCP 2018-1A B
98878CAG1
3000000.00000000
PA
USD
2946606.00000000
0.809250167578
Long
DBT
CORP
KY
N
2
2031-01-16
Floating
3.49429000
N
N
N
N
N
N
VELOCITY COMMERCIAL CAPITAL LOAN TRUST
N/A
VCC 2020-1 M2
92259LAH1
105275.27230000
PA
USD
95277.78000000
0.026166905053
Long
ABS-O
CORP
US
Y
2
2050-02-25
Floating
2.98000100
N
N
N
N
N
N
Structured Asset Securities Corp.
N/A
SARM 2004-2 4A1
86359BLE9
64609.37160000
PA
USD
60330.98000000
0.016569183553
Long
ABS-O
CORP
US
N
2
2034-03-25
Floating
2.64957100
N
N
N
N
N
N
Master Asset Securitization Trust
N/A
MASTR 2003-11 9A6
55265K2U2
72283.26000000
PA
USD
70167.59000000
0.019270691081
Long
ABS-O
CORP
US
N
2
2033-12-25
Fixed
5.25000000
N
N
N
N
N
N
Citigroup Global Markets Holdings Inc.
82VOJDD5PTRDMVVMGV31
C Float 11/22/32
17324CP34
35000.00000000
PA
USD
31150.00000000
0.008554975697
Long
DBT
CORP
US
N
2
2032-11-22
Floating
1.78499900
N
N
N
N
N
N
Mellon Residential
N/A
MRFC 2000-TBC3 B4
585525EU8
218837.47710000
PA
USD
197889.04000000
0.054347862857
Long
ABS-O
CORP
US
Y
2
2030-12-15
Floating
2.41949900
N
N
N
N
N
N
GS Mortgage Securities Corp
N/A
GSMPS 2004-4 1A3
36242DJT1
379977.63120000
PA
USD
381550.36000000
0.104788252236
Long
ABS-O
CORP
US
Y
2
2034-06-25
Fixed
8.00000000
N
N
N
N
N
N
Interstar Millennium 2004-4E Trust
N/A
IMT 2004-4E A1
Q7788NAU8
228314.47980000
PA
227286.51000000
0.062421527108
Long
ABS-O
CORP
AU
Y
2
2036-11-14
Floating
0.00010100
N
N
N
N
N
N
Merrill Lynch Mortgage Investors, Inc.
N/A
MLMI 2003-A4 3A
589929W87
38622.70000000
PA
USD
35877.46000000
0.009853316160
Long
ABS-O
CORP
US
N
2
2033-05-25
Floating
2.96839800
N
N
N
N
N
N
Ellington Clo Ii Llc
254900YE647HYXEP3N43
ECLO 2017-2A C
28852EAE9
2500000.00000000
PA
USD
2458117.50000000
0.675092631591
Long
ABS-CBDO
CORP
US
Y
2
2029-02-15
Floating
4.31129200
N
N
N
N
N
N
Jefferies Group LLC/Jefferies Group Capital Finance Inc
NY9Q8VBNB6D1L6YV0J84
JEF FLOAT 02/28/38
47233JBJ6
762000.00000000
PA
USD
552450.00000000
0.151723798525
Long
DBT
CORP
US
N
2
2038-02-28
Floating
3.54100000
N
N
N
N
N
N
Impac CMB Trust
N/A
IMM 2003-4 3M2
45254NEK9
76671.10000000
PA
USD
74391.06000000
0.020430616706
Long
ABS-O
CORP
US
N
2
2033-07-25
Floating
5.72900000
N
N
N
N
N
N
Olympic Tower Mortgage Trust
N/A
OT 2017-OT E
68162MAN2
370000.00000000
PA
USD
281832.10000000
0.077401822352
Long
ABS-O
CORP
US
Y
2
2039-05-10
Floating
3.94524700
N
N
N
N
N
N
Hudson's Bay Simon JV Trust
N/A
HBCT 2015-HB7 A7
44422PAU6
2366000.00000000
PA
USD
2185688.32000000
0.600273208984
Long
ABS-O
CORP
US
Y
2
2034-08-05
Fixed
3.91410000
N
N
N
N
N
N
GS Mortgage Securities Trust 2016-GS4
N/A
GSMS 2016-GS4 C
36251XAY3
1000000.00000000
PA
USD
905293.50000000
0.248628054304
Long
ABS-O
CORP
US
N
2
2049-11-10
Floating
3.95519800
N
N
N
N
N
N
Wf-Rbs Com Mg Tst
N/A
WFRBS 2014-C25 D
92939LAU0
460148.00000000
PA
USD
396066.35000000
0.108774895628
Long
ABS-O
CORP
US
Y
2
2047-11-15
Floating
3.80300000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS FLOAT 02/27/35
61760QFR0
473000.00000000
PA
USD
326370.00000000
0.089633624988
Long
DBT
CORP
US
N
2
2035-02-27
Floating
0.00009900
N
N
N
N
N
N
ARBOR MULTIFAMILY MORTGAGE SECURITIES TRUST
N/A
AMMST 2020-MF1 D
03881BAQ6
723000.00000000
PA
USD
530951.46000000
0.145819481118
Long
ABS-O
CORP
US
Y
2
2053-05-15
Fixed
1.75000000
N
N
N
N
N
N
Master Asset Securitization Trust
N/A
MASTR 2005-1 2A9
57643MKL7
75956.89430000
PA
USD
63606.59000000
0.017468790743
Long
ABS-O
CORP
US
N
2
2035-05-25
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS FLOAT 01/21/26
61745E2K6
70000.00000000
PA
USD
60900.00000000
0.016725458105
Long
DBT
CORP
US
N
2
2026-01-21
Floating
3.89499800
N
N
N
N
N
N
Washington Mut Mtg
N/A
WAMMS 2005-RA1 3B4
9393364V2
13933.60940000
PA
USD
11257.29000000
0.003091680332
Long
ABS-O
CORP
US
Y
2
2035-01-25
Floating
2.91119800
N
N
N
N
N
N
Indymac MBS Inc
N/A
INDX 2004-AR11 2A
45660N6S9
22134.28000000
PA
USD
20723.45000000
0.005691448189
Long
ABS-O
CORP
US
N
2
2034-12-25
Floating
3.01483400
N
N
N
N
N
N
Csmc Trust 2013-IVR5
N/A
CSMC 2013-IVR5 B4
12647VBC8
1107657.94850000
PA
USD
1082837.99000000
0.297388529334
Long
ABS-O
CORP
US
Y
2
2043-10-25
Floating
3.62440800
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 03/31/31
61745E6X4
20000.00000000
PA
USD
19800.00000000
0.005437833669
Long
DBT
CORP
US
N
2
2031-03-31
Floating
7.99999900
N
N
N
N
N
N
Deutsche Bank AG
N/A
DB 7 1/2 01/31/33
25152RUV3
120000.00000000
PA
USD
79050.00000000
0.021710138969
Long
DBT
CORP
DE
N
2
2033-01-31
Floating
1.94000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JPMMT 2004-S2 4A5
466247JV6
27922.16620000
PA
USD
26659.24000000
0.007321642064
Long
ABS-O
CORP
US
N
2
2034-11-25
Fixed
6.00000000
N
N
N
N
N
N
Bear Stearns Arm Trust
N/A
BSARM 2003-5 1A1
07384MWF5
61083.54000000
PA
USD
58902.08000000
0.016176753224
Long
ABS-O
CORP
US
N
2
2033-08-25
Floating
2.23660800
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
CMLTI 2015-RP2 A
17323TAC4
67072.23000000
PA
USD
64803.07000000
0.017797389694
Long
ABS-O
CORP
US
Y
2
2053-01-25
Fixed
4.25000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
CMLTI 2005-5 3A2A
17307GZG6
1476998.30740000
PA
USD
921242.25000000
0.253008188129
Long
ABS-O
CORP
US
N
2
2035-10-25
Floating
2.60761000
N
N
N
N
N
N
Bayview Cml Asst T
N/A
BAYC 2007-3 M2
07325YAD0
482170.98400000
PA
USD
440653.36000000
0.121020185740
Long
ABS-O
CORP
US
Y
2
2037-07-25
Floating
1.34570900
N
N
N
N
N
N
Salomon Brothers Mtg Secs VII Inc
N/A
SBM7 2002-WMC1 M1
79549AKF5
29267.32000000
PA
USD
28030.49000000
0.007698239510
Long
ABS-O
CORP
US
N
2
2032-01-25
Floating
2.35571000
N
N
N
N
N
N
DEERPATH CAPITAL CLO LTD
N/A
DPATH 2018-1A C
244608AE5
1000000.00000000
PA
USD
978117.00000000
0.268628159367
Long
ABS-CBDO
CORP
KY
N
2
2031-01-15
Floating
4.54429100
N
N
N
N
N
N
CWMBS Inc
N/A
CWALT 2003-J2 A1
12669E4A1
125595.30000000
PA
USD
121736.82000000
0.033433564577
Long
ABS-O
CORP
US
N
2
2033-10-25
Fixed
6.00000000
N
N
N
N
N
N
Delta Funding Series 2000-2
2549001DPIFGXC1TOL40
DELHE 1999-3 A2F
24763LFV7
161878.63710000
PA
USD
159420.70000000
0.043782992429
Long
ABS-O
CORP
US
N
2
2029-09-15
Floating
8.06100100
N
N
N
N
N
N
SLM Student Loan Trust
549300H0EHPP0GTD9V95
SLMA 2005-8 B
78442GQT6
32970.84900000
PA
USD
30427.24000000
0.008356478290
Long
ABS-O
USGA
US
N
2
2055-01-25
Floating
1.49400000
N
N
N
N
N
N
CWMBS Inc
549300430UQIJMFG3R47
CWHL 2004-J9 2A6
12669GFL0
75522.74380000
PA
USD
75029.51000000
0.020605959378
Long
ABS-O
CORP
US
N
2
2035-01-25
Fixed
5.50000000
N
N
N
N
N
N
CASCADE MH ASSET TRUST
N/A
CMHAT 2019-MH1 M
14732FAC6
1000000.00000000
PA
USD
996449.00000000
0.273662824359
Long
ABS-O
CORP
US
Y
2
2044-11-01
Floating
5.98500000
N
N
N
N
N
N
Nomura Asset Acceptance Corp Alt Ln tr
N/A
NAA 2007-1 1A3
65538PAD0
96770.86950000
PA
USD
94227.52000000
0.025878463680
Long
ABS-O
CORP
US
N
2
2047-03-25
Floating
5.95699900
N
N
N
N
N
N
PHH Mortgage
N/A
PHHMC 2008-CIM1 21A1
69337LAJ1
477902.82880000
PA
USD
473793.63000000
0.130121765337
Long
ABS-O
CORP
US
N
2
2038-05-25
Fixed
6.00000000
N
N
N
N
N
N
Bear Stearns Arm Trust
N/A
BSARM 2004-6 3A
07384MW81
105397.63400000
PA
USD
94339.15000000
0.025909121527
Long
ABS-O
CORP
US
N
2
2034-09-25
Floating
2.16477000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS 10 08/29/34
61760QES9
121000.00000000
PA
USD
85910.00000000
0.023594156088
Long
DBT
CORP
US
N
2
2034-08-29
Floating
1.68500100
N
N
N
N
N
N
Ryland Mortgage Se
N/A
RYMS 1994-1 B
783766QB7
1413.66500000
PA
USD
261.53000000
0.000071826092
Long
ABS-O
CORP
US
N
2
2030-04-29
Floating
0.35544600
N
N
N
N
N
N
Citicorp Mortgage Securities Trust
549300ISEJNGWSXAKR30
CMSI 2007-4 1A5
17312XAE4
196071.13040000
PA
USD
182719.04000000
0.050181603424
Long
ABS-O
CORP
US
N
2
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
HSI As Ln 2007-Ar2
N/A
HALO 2007-AR2 4A1
44329EAG6
204002.77710000
PA
USD
175702.14000000
0.048254495592
Long
ABS-O
CORP
US
N
2
2037-09-25
Floating
2.54178700
N
N
N
N
N
N
Financial Asset Securities Corp.
N/A
AAA 2005-1A 1A3B
31738PAV0
172753.04000000
PA
USD
157070.82000000
0.043137625935
Long
ABS-O
CORP
US
Y
2
2035-02-27
Floating
1.43300200
N
N
N
N
N
N
JP Morgan Commercial Mortgage Finance Corp
N/A
JPMCC 2013-LC11 AS
46639YAU1
960000.00000000
PA
USD
952929.60000000
0.261710740591
Long
ABS-O
CORP
US
N
2
2046-04-15
Fixed
3.21600000
N
N
N
N
N
N
Wamu Mortgage Pass-Through CTFS TR
N/A
WAMU 2003-S3 1A4
929227T30
47241.74850000
PA
USD
45024.91000000
0.012365554119
Long
ABS-O
CORP
US
N
2
2033-06-25
Fixed
5.50000000
N
N
N
N
N
N
GS Mortgage Securities Corp
CU46ESEFJB81SUVBJO28
GSAMP 2002-WF A2B
36228FJP2
63045.92800000
PA
USD
62302.93000000
0.017110756084
Long
ABS-O
CORP
US
N
2
2032-10-20
Floating
2.02729000
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2004-J11 3A1
12667FXN0
52210.77500000
PA
USD
52724.93000000
0.014480272706
Long
ABS-O
CORP
US
N
2
2032-08-25
Fixed
7.25000000
N
N
N
N
N
N
DWRS 2016-1
N/A
DWRS 2016-1A UCF
23341DAA9
7383349.12000000
PA
USD
2251921.48000000
0.618463355828
Long
ABS-CBDO
CORP
US
Y
2
2032-04-23
Fixed
1.04380000
N
N
N
N
N
N
Nassau 2018-I Ltd / Llc
5493003RNMF4L18JF715
NCC 2018-IA E
63170NAA9
250000.00000000
PA
USD
204017.75000000
0.056031039907
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-15
Floating
6.89429200
N
N
N
N
N
N
Strats Trust for Goldman Sachs Capital I Securities
N/A
STRATS FLOAT 02/15/34
86312BAB3
135000.00000000
PA
USD
104853.33000000
0.028796715568
Long
DBT
CORP
US
N
2
2034-02-15
Floating
2.95886200
N
N
N
N
N
N
Adjustable Rate Mortgage Trust
N/A
ARMT 2005-6A 2A2
007036PH3
651177.86320000
PA
USD
214185.16000000
0.058823397706
Long
ABS-O
CORP
US
N
2
2035-11-25
Floating
1.84570900
N
N
N
N
N
N
Sequoia Mtg Trust
N/A
SEMT 2005-3 B1
81744FHP5
434921.10000000
PA
USD
337137.18000000
0.092590702459
Long
ABS-O
CORP
US
N
2
2035-05-20
Floating
1.48228900
N
N
N
N
N
N
Harborview Mtg Loan Trust
N/A
HVMLT 2003-1 A
41161PBM4
250805.40000000
PA
USD
215062.86000000
0.059064447535
Long
ABS-O
CORP
US
N
2
2033-05-19
Floating
2.26007300
N
N
N
N
N
N
Morgan Stanley Finance LLC.
5493003FCPSE9RKT4B56
MS 8 09/29/37
61766YBY6
158000.00000000
PA
USD
141015.00000000
0.038728086612
Long
DBT
CORP
US
N
2
2037-09-29
Floating
0.00009900
N
N
N
N
N
N
Lending Club Corporation
549300YC50YO7Y1OJR92
LCIT 2016-NP1 CERT
52603TAD0
5424000.00000000
PA
USD
0.00000000
0.000000
Long
ABS-O
CORP
US
Y
2
2022-06-15
Fixed
0.00000000
N
N
N
N
N
N
CWMBS Inc
N/A
CWHL 2003-R4 2A
12669FFS7
111793.25560000
PA
USD
95397.36000000
0.026199746273
Long
ABS-O
CORP
US
Y
2
2034-01-25
Floating
4.36753800
N
N
N
N
N
N
JP Morgan Commercial Mortgage Finance Corp
N/A
JPMCC 2013-LC11 E
46639YAC1
500000.00000000
PA
USD
304226.35000000
0.083552135819
Long
ABS-O
CORP
US
Y
2
2046-04-15
Floating
3.25000100
N
N
N
N
N
N
Global Mortgage Securitization Ltd.
N/A
GMSL 2004-A A3
378961AC0
1744757.59000000
PA
USD
1856723.22000000
0.509926870756
Long
ABS-O
CORP
KY
Y
2
2032-11-25
Floating
12.45992000
N
N
N
N
N
N
PHH Mtg Cap Llc
N/A
PHHMC 2005-4 A8
69336RBN9
450459.41690000
PA
USD
443892.08000000
0.121909661531
Long
ABS-O
CORP
US
N
2
2035-07-18
Floating
5.92491200
N
N
N
N
N
N
Banc America Mortgage Securitites Inc
549300IE5TDZLY0T0V30
BOAA 2003-8 1CB1
05948XTV3
254336.70990000
PA
USD
250131.71000000
0.068695688610
Long
ABS-O
CORP
US
N
2
2033-10-25
Fixed
5.50000000
N
N
N
N
N
N
Galton Funding Mortgage Trust 2017-1
N/A
GFMT 2017-1 B4
36416UBN4
1999468.86880000
PA
USD
1984844.75000000
0.545113919728
Long
ABS-O
CORP
US
Y
2
2056-07-25
Floating
4.26309100
N
N
N
N
N
N
JPMBB Commercial Mortgage Securities 2015-C29
N/A
JPMBB 2015-C29 C
46644RBF1
339000.00000000
PA
USD
313993.28000000
0.086234506567
Long
ABS-O
CORP
US
N
2
2048-05-15
Floating
4.18463300
N
N
N
N
N
N
SFAVE COMMERCIAL MORTGAGE SECURITIES TRUST
549300FIGODFFTOAAU64
SFAVE 2015-5AVE A1
78413MAA6
352500.00000000
PA
USD
283825.59000000
0.077949310586
Long
ABS-O
CORP
US
Y
2
2043-01-05
Floating
3.87200200
N
N
N
N
N
N
Bank of Nova Scotia
L3I9ZG2KFGXZ61BMYR72
BNS Float 06/27/33
064159CK0
190000.00000000
PA
USD
132525.00000000
0.036396409448
Long
DBT
CORP
CA
N
2
2033-06-27
Floating
0.11200000
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FN 257064
31371NQR9
37892.71000000
PA
USD
38161.82000000
0.010480688368
Long
ABS-MBS
USGSE
US
N
2
2037-11-01
Fixed
4.50000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp
N/A
CSFB 2004-AR5 11A2
22541SJL3
35375.52520000
PA
USD
35446.85000000
0.009735054263
Long
ABS-O
CORP
US
N
2
2034-06-25
Floating
1.74570800
N
N
N
N
N
N
Commercial Mortgage 2012-Lc4
N/A
COMM 2012-LC4 B
126192AF0
90605.44730000
PA
USD
90472.82000000
0.024847280140
Long
ABS-O
CORP
US
N
2
2044-12-10
Floating
4.93400200
N
N
N
N
N
N
GS Mortgage Securities Corp
CU46ESEFJB81SUVBJO28
GSR 2005-AR3 1A1
36242D4R1
55660.53330000
PA
USD
47395.61000000
0.013016638578
Long
ABS-O
CORP
US
N
2
2035-05-25
Floating
1.44571000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust 2012-C4
N/A
UBSBB 2012-C4 D
90270RAL8
171000.00000000
PA
USD
160143.76000000
0.043981572228
Long
ABS-O
CORP
US
Y
2
2045-12-10
Floating
4.45799900
N
N
N
N
N
N
NatWest Group PLC
RR3QWICWWIPCS8A4S074
NWG FLOAT 08/18/31
78009PBE0
125000.00000000
PA
USD
88125.00000000
0.024202479400
Long
DBT
CORP
GB
N
2
2031-08-18
Floating
0.00010100
N
N
N
N
N
N
Citicorp Mortgage Securities
549300ISEJNGWSXAKR30
CMSI 2005-4 1A5
172973W47
153759.45140000
PA
USD
149600.80000000
0.041086074103
Long
ABS-O
CORP
US
N
2
2035-07-25
Fixed
5.50000000
N
N
N
N
N
N
Chase Fdg Mtg Ln
N/A
CFAB 2002-4 2A1
161546DQ6
9162.66200000
PA
USD
8871.81000000
0.002436536723
Long
ABS-O
CORP
US
N
2
2032-10-25
Floating
1.74570800
N
N
N
N
N
N
Alternative Loan Trust
N/A
CWALT 2006-40T1 2A1
02148KAQ7
105569.63480000
PA
USD
39147.98000000
0.010751525441
Long
ABS-O
CORP
US
N
2
2036-12-25
Fixed
6.00000000
N
N
N
N
N
N
SG Structured Products, Inc.
549300D8JJ608SOIGA98
SOCGEN FLOAT 03/31/26
78423AJ45
202000.00000000
PA
USD
190385.00000000
0.052286967838
Long
DBT
CORP
US
N
2
2026-03-31
Floating
1.00000100
N
N
N
N
N
N
Bayview Commercial Asset Trust 2006-SP2
N/A
BAYC 2007-4A A1
07326BAA5
426530.91260000
PA
USD
386853.97000000
0.106244825419
Long
ABS-O
CORP
US
Y
2
2037-09-25
Floating
1.45571000
N
N
N
N
N
N
Csmc Tr
N/A
CSMC 2007-5R A5
12640QAE3
309182.06200000
PA
USD
95952.77000000
0.026352283000
Long
ABS-O
CORP
US
N
2
2036-07-26
Fixed
6.50000000
N
N
N
N
N
N
Access Group Inc
N/A
ACCSS 2004-2 B
00432CBZ3
49236.95450000
PA
USD
46036.99000000
0.012643509811
Long
ABS-O
CORP
US
N
2
2043-01-25
Floating
1.88399900
N
N
N
N
N
N
Impac CMB Trust
N/A
IMM 2003-2F M2
45254NDT1
72802.87140000
PA
USD
71827.61000000
0.019726595761
Long
ABS-O
CORP
US
N
2
2033-01-25
Floating
6.57000000
N
N
N
N
N
N
Master Asset Securitization Trust
N/A
MASTR 2003-12 1A1
55265K3J6
96408.69000000
PA
USD
96238.65000000
0.026430796529
Long
ABS-O
CORP
US
N
2
2024-12-25
Fixed
5.25000000
N
N
N
N
N
N
PEAKS CLO 2 LTD
549300BU7U9SZMLBY924
PEAKS 2017-2A CR
70469XAS3
500000.00000000
PA
USD
488353.00000000
0.134120322529
Long
ABS-CBDO
CORP
US
Y
2
2031-07-20
Floating
4.66270900
N
N
N
N
N
N
Am Capital Funding Llc
N/A
AMARK 2018-1 A
00166AAA5
2000000.00000000
PA
USD
1998081.40000000
0.548749207659
Long
ABS-O
CORP
US
Y
2
2023-12-15
Fixed
4.98000000
N
N
N
N
N
N
HALCYON LOAN ADVISORS FUNDING LTD
549300SU2HGHNRLL0O32
HLA 2013-1A C
40537XAG0
1096087.72250000
PA
USD
1067703.43000000
0.293232003074
Long
ABS-CBDO
CORP
KY
Y
2
2025-04-15
Floating
4.54429100
N
N
N
N
N
N
Nomura America Finance LLC
549300U646RSSKIVOJ29
NOMURA FLOAT 12/31/33
655365AA2
274000.00000000
PA
USD
198650.00000000
0.054556851438
Long
DBT
CORP
US
N
2
2033-12-31
Floating
0.00010100
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp
N/A
CSFB 2001-26 5A1
22540VFQ0
155529.74490000
PA
USD
155337.67000000
0.042661636974
Long
ABS-O
CORP
US
N
2
2031-11-25
Floating
4.35067900
N
N
N
N
N
N
Ready Capital Mortgage Trust 2015-2
N/A
RCMT 2015-2 E
75574QAN0
2000000.00000000
PA
USD
1911692.00000000
0.525023390082
Long
ABS-O
CORP
US
Y
2
2055-06-25
Floating
5.08728200
N
N
N
N
N
N
Bbcms Mr 2017-C1
N/A
BBCMS 2017-C1 A2
07332VBA2
653393.84480000
PA
USD
653057.35000000
0.179354406366
Long
ABS-O
CORP
US
N
2
2050-02-15
Fixed
3.18900000
N
N
N
N
N
N
Cutwater 2014-I Ltd/Llc
254900Z407FNBKBWKE10
CTWTR 2014-1A A2R
23222TAQ3
284380.65500000
PA
USD
284177.04000000
0.078045832134
Long
ABS-CBDO
CORP
KY
Y
2
2026-07-15
Floating
2.74429100
N
N
N
N
N
N
American Home Mortgage Investment Trust
N/A
AHM 2004-1 2M1
02660TAK9
94955.41000000
PA
USD
90900.53000000
0.024964745587
Long
ABS-O
CORP
US
N
2
2044-04-25
Floating
3.84814100
N
N
N
N
N
N
CWMBS Inc
N/A
CWHL 2005-R2 2A4
12669GP47
23195.55000000
PA
USD
23165.04000000
0.006362001740
Long
ABS-O
CORP
US
Y
2
2035-06-25
Fixed
8.50000000
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2004-16CB 1A1
12667FLT0
12060.46450000
PA
USD
11890.08000000
0.003265468553
Long
ABS-O
CORP
US
N
2
2034-07-25
Fixed
5.50000000
N
N
N
N
N
N
CSFB Mtg Accep Corp
N/A
CSFB 2004-6 1A3
2254W0GW9
186928.52870000
PA
USD
177756.97000000
0.048818830125
Long
ABS-O
CORP
US
N
2
2034-10-25
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 01/30/35
61760QFP4
304000.00000000
PA
USD
228000.00000000
0.062617478620
Long
DBT
CORP
US
N
2
2035-01-30
Floating
0.00010100
N
N
N
N
N
N
Natixis US Medium Term Note Program LLC
549300MPTYP2BAQOK371
KNFP FLOAT 07/31/34
63873HLU6
1414000.00000000
PA
USD
1011010.00000000
0.277661829210
Long
DBT
CORP
US
N
2
2034-07-31
Floating
0.00010100
N
N
N
N
N
N
Lloyds Bank plc
H7FNTJ4851HG0EXQ1Z70
LLOYDS Float 01/31/33
5394E8BK4
200000.00000000
PA
USD
133250.00000000
0.036595522044
Long
DBT
CORP
GB
N
2
2033-01-31
Floating
0.00010100
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp
N/A
CSFB 2001-33 3B1
22540VRV6
158562.24620000
PA
USD
157822.71000000
0.043344123549
Long
ABS-O
CORP
US
N
2
2032-01-25
Floating
7.15808500
N
N
N
N
N
N
Raac Ser 2007 Rp3
N/A
RAAC 2007-RP3 A
74978BAA6
635726.75800000
PA
USD
606070.61000000
0.166450059053
Long
ABS-O
CORP
US
Y
2
2046-10-25
Floating
1.76571000
N
N
N
N
N
N
GS Mortgage Securities Corp
CU46ESEFJB81SUVBJO28
GSMPS 2006-RP1 1A2
3623413E7
139532.74610000
PA
USD
131501.51000000
0.036115320135
Long
ABS-O
CORP
US
Y
2
2036-01-25
Fixed
7.50000000
N
N
N
N
N
N
Rbsgc Structured T
N/A
RBSGC 2008-A A1
74928AAA9
389851.62000000
PA
USD
348603.33000000
0.095739743698
Long
ABS-O
CORP
US
Y
2
2035-11-25
Fixed
5.50000000
N
N
N
N
N
N
Mastr Adjustable Rate Mortgages Trust
N/A
MARM 2003-2 4A1
576433DJ2
16680.42810000
PA
USD
16317.98000000
0.004481538437
Long
ABS-O
CORP
US
N
2
2033-07-25
Floating
1.98230000
N
N
N
N
N
N
First Franklin Mortgage Loan Trust 2005-FF4
N/A
FFML 2002-FF1 M2
32027NAS0
362293.03090000
PA
USD
340628.13000000
0.093549450209
Long
ABS-O
CORP
US
N
2
2032-04-25
Floating
2.80571000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp
N/A
CSFB 2003-11 1A31
22541QBS0
87710.18860000
PA
USD
86827.92000000
0.023846251860
Long
ABS-O
CORP
US
N
2
2033-06-25
Fixed
5.50000000
N
N
N
N
N
N
L2L Ed Ln Tr 06-1
N/A
LTLRN 2006-1A A3
50246NAC2
131539.84000000
PA
USD
127020.52000000
0.034884669716
Long
ABS-O
CORP
US
Y
2
2031-06-15
Floating
1.21470800
N
N
N
N
N
N
Argentina (Republic of)
549300KPBYGYF7HCHO27
ARGENT 0 1/8 07/09/35
040114HT0
485000.00000000
PA
USD
132361.35000000
0.036351464928
Long
DBT
NUSS
AR
N
2
2035-07-09
Floating
1.12500000
N
N
N
N
N
N
Amresco Residential Securities Corporation
N/A
AMRES 1999-1 A
03215PFN4
380692.59000000
PA
USD
349542.97000000
0.095997804609
Long
ABS-O
CORP
US
N
2
2029-06-25
Floating
1.94571000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2007-HF1 4PO
55291YAN7
866092.93700000
PA
USD
49029.78000000
0.013465443863
Long
ABS-O
CORP
US
N
2
2047-10-25
Fixed
0.00000000
N
N
N
N
N
N
CNL Coml Mortgage Loan Trust
N/A
CNL 2003-1A A1
12614MAS3
537039.33330000
PA
USD
519291.26000000
0.142617146363
Long
ABS-O
CORP
US
Y
2
2031-05-15
Floating
1.37471000
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust 2012-C4
N/A
UBSBB 2012-C4 A4
90270RBD5
750000.00000000
PA
USD
749418.90000000
0.205818955914
Long
ABS-O
CORP
US
N
2
2045-12-10
Fixed
2.79190000
N
N
N
N
N
N
Gmacm Mortgage Loan Trust
N/A
GMACM 2004-J2 A8
36185N2E9
113329.09900000
PA
USD
110910.17000000
0.030460154380
Long
ABS-O
CORP
US
N
2
2034-06-25
Fixed
5.75000000
N
N
N
N
N
N
CWMBS Inc
549300430UQIJMFG3R47
CWALT 1998-4 IIA3
12669ATG9
43987.01000000
PA
USD
43303.12000000
0.011892685047
Long
ABS-O
CORP
US
N
2
2028-08-25
Floating
6.27483600
N
N
N
N
N
N
Washington Mut Mtg
N/A
WAMMS 2003-MS7 A12
939336TS2
174053.36500000
PA
USD
171520.02000000
0.047105926251
Long
ABS-O
CORP
US
N
2
2033-03-25
Fixed
5.50000000
N
N
N
N
N
N
Lstar Commercial Mortgage Trust 2015-3
N/A
LNSTR 2015-3 D
54910JAU8
4000000.00000000
PA
USD
3750930.00000000
1.030148153867
Long
ABS-O
CORP
US
Y
2
2048-04-20
Floating
3.14555400
N
N
N
N
N
N
GS Mortgage Securities Corp
N/A
GSMPS 2004-4 1A2
36242DJS3
704244.98390000
PA
USD
704229.21000000
0.193408146934
Long
ABS-O
CORP
US
Y
2
2034-06-25
Fixed
7.50000000
N
N
N
N
N
N
CWMBS Inc
N/A
CWHL 2004-R1 2A
12669F7L1
24650.86600000
PA
USD
23467.83000000
0.006445159400
Long
ABS-O
CORP
US
Y
2
2034-11-25
Fixed
6.50000000
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2004-24CB 1A1
12667FVN2
8214833.61760000
PA
USD
8267162.11000000
2.270477397696
Long
ABS-O
CORP
US
N
2
2034-11-25
Fixed
6.00000000
N
N
N
N
N
N
Business Loan 07-A
N/A
BLX 2007-AA A
12328RAA8
159499.85130000
PA
USD
147253.44000000
0.040441399697
Long
DBT
CORP
US
Y
2
2040-10-20
Floating
1.32729100
N
N
N
N
N
N
Wamu Mortgage Pass-Through CTFS TR
N/A
WAMU 2003-AR9 1A7
92922FBW7
21636.12020000
PA
USD
20113.34000000
0.005523888760
Long
ABS-O
CORP
US
N
2
2033-09-25
Floating
2.52801000
N
N
N
N
N
N
GC FTPYME Pastor 4 FTA
54930081SHHWJEY6G124
PAST 4 E
E5650RAB3
200000.00000000
PA
120871.31000000
0.033195862586
Long
ABS-O
CORP
ES
N
2
2045-07-15
Floating
1.99400000
N
N
N
N
N
N
Banc Amer Alternative Loan Trust
549300IE5TDZLY0T0V30
BOAA 2007-1 1A1
059496AA7
67348.02660000
PA
USD
58384.83000000
0.016034696685
Long
ABS-O
CORP
US
N
2
2022-06-25
Floating
3.92114200
N
N
N
N
N
N
CAPTIAL FUNDING MORTGAGE TRUST-015
N/A
CFGMS 2021-15 A
14020PAA9
1000000.00000000
PA
USD
990187.30000000
0.271943123192
Long
ABS-O
CORP
US
Y
2
2024-03-15
Floating
4.15000100
N
N
N
N
N
N
Banc of America Funding Corporation
N/A
BAFC 2004-C 4A1
05946XMA8
22384.68720000
PA
USD
22189.57000000
0.006094100548
Long
ABS-O
CORP
US
N
2
2034-12-20
Floating
1.58729000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
CMLTI 2004-NCM2 1CB2
17307GGY8
53629.46270000
PA
USD
52612.07000000
0.014449277054
Long
ABS-O
CORP
US
N
2
2034-08-25
Fixed
6.75000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp
N/A
CSFB 2003-AR24 3A1
22541QUP5
104513.56090000
PA
USD
101375.69000000
0.027841623250
Long
ABS-O
CORP
US
N
2
2033-10-25
Floating
1.74060000
N
N
N
N
N
N
Bayview Financial Revolving Asset Trust
N/A
BAYV 2005-A M1
073250BQ4
1732344.61900000
PA
USD
1686342.21000000
0.463133760006
Long
ABS-O
CORP
US
Y
2
2040-02-28
Floating
2.56171000
N
N
N
N
N
N
Multi Sec Asset Trust
N/A
MSAT 2005-RR4A N
62544HAS4
242836.48840000
PA
USD
183405.66000000
0.050370175411
Long
ABS-O
CORP
US
Y
2
2035-11-28
Floating
4.78000100
N
N
N
N
N
N
Citigroup Global Markets Holdings Inc.
82VOJDD5PTRDMVVMGV31
C FLOAT 03/29/34
17326YVR4
60000.00000000
PA
USD
56700.00000000
0.015571978235
Long
DBT
CORP
US
N
2
2034-03-29
Floating
10.00000100
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp
N/A
CSFB 2004-4 1A5
22541STP3
527283.36530000
PA
USD
498378.50000000
0.136873706441
Long
ABS-O
CORP
US
N
2
2034-08-25
Fixed
6.00000000
N
N
N
N
N
N
MortgageIT Trust
N/A
MHL 2004-2 B2
61913PAL6
169633.97680000
PA
USD
169564.44000000
0.046568849546
Long
ABS-O
CORP
US
N
2
2034-12-25
Floating
4.23070900
N
N
N
N
N
N
READY CAPITAL MORTGAGE TRUST
N/A
RCMT 2019-5 E
75575MAN8
500000.00000000
PA
USD
465585.70000000
0.127867555332
Long
ABS-O
CORP
US
Y
2
2052-02-25
Floating
5.47940200
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
GNR 2016-H24 AI
38376RE85
1526532.98360000
PA
USD
98395.13000000
0.027023048022
Long
ABS-O
USGA
US
N
2
2066-11-20
Floating
1.84455000
N
N
N
N
N
N
Wamu Mortgage Pass-Through CTFS TR
N/A
WAMU 2002-AR2 A
929227LE4
29423.68510000
PA
USD
27040.94000000
0.007426471413
Long
ABS-O
CORP
US
N
2
2034-02-27
Floating
1.47300100
N
N
N
N
N
N
Wachovia Mortgage Loan Trust LLC
N/A
WMLT 2006-A 4A1
92977TAG7
516188.43000000
PA
USD
487404.73000000
0.133859891492
Long
ABS-O
CORP
US
N
2
2036-05-20
Floating
2.73427200
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS FLOAT 06/30/31
61745EX63
100000.00000000
PA
USD
103000.00000000
0.028287720604
Long
DBT
CORP
US
N
2
2031-06-30
Floating
9.00000000
N
N
N
N
N
N
HARVEST COMMERCIAL CAPITAL LOAN TRUST 2019-1
N/A
HCCLT 2019-1 M5
41753CAF3
1300000.00000000
PA
USD
1072722.30000000
0.294610375815
Long
ABS-O
CORP
US
Y
2
2031-11-25
Floating
5.73000100
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
CMLTI 2003-1 WB1
17307GCR7
18326.27420000
PA
USD
17932.68000000
0.004924996519
Long
ABS-O
CORP
US
N
2
2031-06-25
Fixed
7.00000000
N
N
N
N
N
N
Mastr Reperforming
N/A
MARP 2006-2 2A1
57645LAB0
156192.95480000
PA
USD
149801.84000000
0.041141287339
Long
ABS-O
CORP
US
Y
2
2036-05-25
Floating
3.31878200
N
N
N
N
N
N
CWMBS Inc
N/A
CWHL 2004-HYB2 2A
12669FTH6
66530.36460000
PA
USD
63024.55000000
0.017308940404
Long
ABS-O
CORP
US
N
2
2034-07-20
Floating
2.74099700
N
N
N
N
N
N
Structured Asset Securities Corp.
N/A
SASC 2003-37A B1I
86359BCP4
9683.99900000
PA
USD
8857.04000000
0.002432480319
Long
ABS-O
CORP
US
N
2
2033-12-25
Floating
1.58000000
N
N
N
N
N
N
Delta Funding Series 2000-2
N/A
DELHE 1999-2 A1A
24763LFS4
168036.99000000
PA
USD
158050.13000000
0.043406581737
Long
ABS-O
CORP
US
N
2
2030-08-15
Floating
1.51471100
N
N
N
N
N
N
Tropic Cdo IV Ltd / Tropic Cdo Corp
549300G4EB8Y4RLPO182
TROPC 2004-4A A3L
89707YAC8
3000000.00000000
PA
USD
2718900.00000000
0.746713432548
Long
ABS-CBDO
CORP
KY
Y
2
2035-04-15
Floating
2.04428900
N
N
N
N
N
N
Bayview Commercial Asset Trust 2006-SP2
N/A
BAYC 2004-3 A2
07324SAY8
42489.53000000
PA
USD
40278.01000000
0.011061874693
Long
ABS-O
CORP
US
Y
2
2035-01-25
Floating
1.63571000
N
N
N
N
N
N
Washington Mut Mtg
N/A
WAMU 2005-AR1 A1A
939336X40
50998.44400000
PA
USD
49245.83000000
0.013524779417
Long
ABS-O
CORP
US
N
2
2045-01-25
Floating
1.64571100
N
N
N
N
N
N
Banc America Funding Trust
N/A
BAFC 2007-2 1A8
05951GAW2
102382.91610000
PA
USD
19458.41000000
0.005344020053
Long
ABS-O
CORP
US
N
2
2037-03-25
Fixed
6.00000000
N
N
N
N
N
N
Goldman Sachs Group, Inc.
784F5XWPLTWKTBV3E584
GS 0 03/19/29
38147QST4
365000.00000000
PA
USD
292000.00000000
0.080194314724
Long
DBT
CORP
US
N
2
2029-03-19
Floating
0.02000200
N
N
N
N
N
N
Chase Fdg Mtg Ln
N/A
CFAB 2004-1 1A7
161546HU3
77299.68500000
PA
USD
73756.30000000
0.020256287449
Long
ABS-O
CORP
US
N
2
2033-11-25
Floating
4.98499900
N
N
N
N
N
N
CWMBS Inc
N/A
CWHL 2004-3 A4
12669FPC1
33939.81200000
PA
USD
32685.06000000
0.008976561604
Long
ABS-O
CORP
US
N
2
2034-04-25
Fixed
5.75000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS 10 11/30/30
61760QJC9
50000.00000000
PA
USD
38750.00000000
0.010642224984
Long
DBT
CORP
US
N
2
2030-11-30
Floating
0.00009900
N
N
N
N
N
N
RBSSP Resecuritization Trust
N/A
RBSSP 2010-4 6A2
74927DAM8
234969.38020000
PA
USD
231233.84000000
0.063505614177
Long
ABS-O
CORP
US
Y
2
2036-02-26
Floating
5.82500200
N
N
N
N
N
N
GSAA Home Equity Trust
CU46ESEFJB81SUVBJO28
GSR 2006-1F 2A16
362334AN4
122245.54250000
PA
USD
71998.87000000
0.019773630275
Long
ABS-O
CORP
US
N
2
2036-02-25
Fixed
6.00000000
N
N
N
N
N
N
Deutsche Mortgage Securities Inc Mortgage Loan Trust
529900RSBMUF46QF5O69
DMSI 2008-RS1 1A1
25156BAA2
149093.44160000
PA
USD
149956.69000000
0.041183815044
Long
ABS-O
CORP
US
Y
2
2037-04-28
Floating
3.28277200
N
N
N
N
N
N
GS Mortgage Securities Corp
CU46ESEFJB81SUVBJO28
GSR 2005-6F 1A7
362341DR7
7230.90150000
PA
USD
7216.19000000
0.001981840451
Long
ABS-O
CORP
US
N
2
2035-07-25
Fixed
5.25000000
N
N
N
N
N
N
International Bank for Reconstruction and Development
ZTMSNXROF84AHWJNKQ93
IBRD Float 06/30/34
45905UPL2
964000.00000000
PA
USD
694080.00000000
0.190620787547
Long
DBT
NUSS
N/A
N
2
2034-06-30
Floating
0.07200000
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2004-28CB 2A4
12667FYL3
464520.13310000
PA
USD
439589.48000000
0.120728003796
Long
ABS-O
CORP
US
N
2
2035-01-25
Fixed
5.75000000
N
N
N
N
N
N
PEAKS CLO 2 LTD
549300BU7U9SZMLBY924
PEAKS 2017-2A DR
70469XAU8
2750000.00000000
PA
USD
2585951.50000000
0.710200713880
Long
ABS-CBDO
CORP
US
Y
2
2031-07-20
Floating
6.06271000
N
N
N
N
N
N
Indymac MBS Inc
N/A
RAST 2003-A9 A3
45660NSY2
1691002.35000000
PA
USD
1654042.11000000
0.454262923071
Long
ABS-O
CORP
US
N
2
2033-08-25
Floating
1.55571100
N
N
N
N
N
N
Structured Asset Securities Corp.
N/A
SASC 2003-40A 3A2
86359BEK3
34998.47000000
PA
USD
34205.51000000
0.009394135048
Long
ABS-O
CORP
US
N
2
2034-01-25
Floating
2.71065600
N
N
N
N
N
N
MTG Eq Cnv Asset
N/A
MECA 2007-FF2 A
61911CAA1
3726613.01000000
PA
USD
3390681.21000000
0.931210123578
Long
ABS-O
CORP
US
Y
2
2042-02-25
Floating
2.49000100
N
N
N
N
N
N
Banc of America Funding Corporation
54930023UHZHF7UJ8596
BAFC 2005-E 8A1
05946XXW8
45815.56000000
PA
USD
37171.10000000
0.010208598945
Long
ABS-O
CORP
US
N
2
2035-06-20
Floating
1.65300100
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 07/31/35
61760QGS7
268000.00000000
PA
USD
274030.00000000
0.075259068712
Long
DBT
CORP
US
N
2
2035-07-31
Floating
8.99999800
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2004-6 6A1
576434SJ4
531604.38960000
PA
USD
535288.41000000
0.147010572670
Long
ABS-O
CORP
US
N
2
2034-07-25
Fixed
6.50000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS FLOAT 10/15/28
61760QDM3
753000.00000000
PA
USD
592046.25000000
0.162598435972
Long
DBT
CORP
US
N
2
2028-10-15
Floating
4.09500100
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2005-6CB 1A6
12667F5H4
157941.44650000
PA
USD
145675.81000000
0.040008122448
Long
ABS-O
CORP
US
N
2
2035-04-25
Fixed
5.50000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JPMMT 2005-A7 1A4
466247WL3
35687.69600000
PA
USD
36143.78000000
0.009926457769
Long
ABS-O
CORP
US
N
2
2035-10-25
Floating
2.75954000
N
N
N
N
N
N
ABN AMRO Mtg Corp
549300VR53X8N2B19L97
AMAC 2003-11 A4
000780MP8
155823.99680000
PA
USD
152312.36000000
0.041830771692
Long
ABS-O
CORP
US
N
2
2033-10-25
Fixed
5.50000000
N
N
N
N
N
N
HSI Asset Loan Obligation Trust
N/A
HALO 2007-AR1 4A1
40431LAF5
202376.61550000
PA
USD
166993.11000000
0.045862664452
Long
ABS-O
CORP
US
N
2
2037-01-25
Floating
4.06827400
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2004-15 1A2
12667FPW9
61336.00920000
PA
USD
60163.08000000
0.016523071822
Long
ABS-O
CORP
US
N
2
2034-09-25
Floating
2.24099600
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
SAST 2003-3 M2
805564PF2
39312.26840000
PA
USD
36474.39000000
0.010017255859
Long
ABS-O
CORP
US
N
2
2033-12-25
Floating
3.40571200
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 08/19/30
61760QGY4
290000.00000000
PA
USD
238525.00000000
0.065508044245
Long
DBT
CORP
US
N
2
2030-08-19
Floating
0.64599900
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 09/30/35
61760QHH0
79000.00000000
PA
USD
80580.00000000
0.022130335207
Long
DBT
CORP
US
N
2
2035-09-30
Floating
8.99999800
N
N
N
N
N
N
Renaissance Mtg Ac
N/A
RAMC 2002-3 M2
75970NAC1
128342.08000000
PA
USD
122774.41000000
0.033718526286
Long
ABS-O
CORP
US
N
2
2032-12-25
Floating
3.55570900
N
N
N
N
N
N
GSR Mtg Ln 07-Ar2
CU46ESEFJB81SUVBJO28
GSR 2007-AR2 2A1
3622N6AC3
80619.82180000
PA
USD
52300.44000000
0.014363691594
Long
ABS-O
CORP
US
N
2
2037-05-25
Floating
2.79913000
N
N
N
N
N
N
Deutsche Bank AG
N/A
DB FLOAT 06/30/34
25152RXB4
245000.00000000
PA
USD
167212.50000000
0.045922917297
Long
DBT
CORP
DE
N
2
2034-06-30
Floating
0.00010100
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2005-J8 1A5
12667GJ46
151858.03250000
PA
USD
127666.38000000
0.035062047457
Long
ABS-O
CORP
US
N
2
2035-07-25
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley Finance LLC.
5493003FCPSE9RKT4B56
MS Float 11/29/36
61766YAV3
4218000.00000000
PA
USD
3764565.00000000
1.033892843871
Long
DBT
CORP
US
N
2
2036-11-29
Floating
0.00010100
N
N
N
N
N
N
Impac CMB Trust
N/A
IMM 2004-10 4M2
45254NLX3
25708.40000000
PA
USD
23489.46000000
0.006451099821
Long
ABS-O
CORP
US
N
2
2035-03-25
Floating
2.50571200
N
N
N
N
N
N
Mmcaps Funding Xvii Ltd / Corp
54930011772G0TN67D61
MMCAP 17A B
55312HAC3
1756000.00000000
PA
USD
1554060.00000000
0.426804029933
Long
ABS-CBDO
CORP
US
Y
2
2035-12-01
Floating
1.12299800
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CWHL 2006-R2 AF1
125435AA5
114583.85120000
PA
USD
106395.77000000
0.029220328303
Long
ABS-O
CORP
US
Y
2
2036-07-25
Floating
1.42571200
N
N
N
N
N
N
Morgan Stanley ML
N/A
MSM 2004-8AR 4A1
61748HEF4
28587.69940000
PA
USD
26189.07000000
0.007192515486
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
2.50592800
N
N
N
N
N
N
Citigroup Global Markets Holdings Inc.
82VOJDD5PTRDMVVMGV31
C FLOAT 12/14/36
17290JAA9
50000.00000000
PA
USD
37000.00000000
0.010161608372
Long
DBT
CORP
US
N
2
2036-12-14
Floating
0.00010100
N
N
N
N
N
N
BEAR STEARNS ASSET BACKED SECU
N/A
BSABS 2001-A B
07384JAA7
192312.39860000
PA
USD
201043.38000000
0.055214164688
Long
ABS-O
CORP
US
N
2
2031-02-15
Floating
10.50000100
N
N
N
N
N
N
Halcyon Loan Advisors Funding 2013-2 Ltd./LLC
5493007BSG4LRQVLD578
HLA 2013-2A D
40537YAN3
2367844.88960000
PA
USD
2005405.98000000
0.550760816131
Long
ABS-CBDO
CORP
KY
Y
2
2025-08-01
Floating
5.08600100
N
N
N
N
N
N
SLM Student Loan Trust
N/A
SLMA 2005-5 B
78442GPS9
16963.35000000
PA
USD
14054.46000000
0.003859889686
Long
ABS-O
USGA
US
N
2
2040-10-25
Floating
1.43399900
N
N
N
N
N
N
United States Treasury Bonds
254900HROIFWPRGM1V77
T 1 7/8 11/15/51
912810TB4
1000000.00000000
PA
USD
764843.75000000
0.210055206857
Long
DBT
UST
US
N
2
2051-11-15
Fixed
1.87500000
N
N
N
N
N
N
Argentina (Republic of)
549300KPBYGYF7HCHO27
ARGENT 1 07/09/29
040114HX1
24086.00000000
PA
USD
7170.66000000
0.001969336180
Long
DBT
NUSS
AR
N
2
2029-07-09
Fixed
1.00000000
N
N
N
N
N
N
Bluemountain CLO 2013-2 Ltd.
549300KGXMRFX2DKIX03
BLUEM 2013-2A A2R
09626YAQ3
750000.00000000
PA
USD
736464.00000000
0.202261047257
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-22
Floating
2.43628900
N
N
N
N
N
N
Halcyon Loan Advisors Funding Ltd
549300U92YP85EMXX728
HLA 2014-2A C
40538BAJ1
1262872.69500000
PA
USD
1238052.20000000
0.340016259493
Long
ABS-CBDO
CORP
KY
Y
2
2025-04-28
Floating
4.73814000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
BACR FLOAT 07/31/34
06741UFM1
70000.00000000
PA
USD
49700.00000000
0.013649511787
Long
DBT
CORP
GB
N
2
2034-07-31
Floating
0.00010100
N
N
N
N
N
N
UBS-Barclays Commercial Mortgage Trust 2012-C4
N/A
UBSBB 2013-C5 C
90270YAL3
639842.00000000
PA
USD
556019.02000000
0.152703987269
Long
ABS-O
CORP
US
Y
2
2046-03-10
Floating
4.07034400
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 06/30/30
61760QGJ7
403000.00000000
PA
USD
330460.00000000
0.090756894670
Long
DBT
CORP
US
N
2
2030-06-30
Floating
6.11000100
N
N
N
N
N
N
Deutsche Bank AG
N/A
DB Float 12/23/35
25152R2W2
75000.00000000
PA
USD
53062.50000000
0.014572982277
Long
DBT
CORP
DE
N
2
2035-12-23
Floating
0.00010100
N
N
N
N
N
N
AASET TRUST
N/A
AASET 2020-1A A
00255UAA3
200342.81500000
PA
USD
169569.54000000
0.046570250200
Long
ABS-O
CORP
US
Y
2
2040-01-16
Fixed
3.35100000
N
N
N
N
N
N
CWMBS Inc
N/A
CWHL 2004-14 4A1
12669FT52
42918.43200000
PA
USD
40670.60000000
0.011169694850
Long
ABS-O
CORP
US
N
2
2034-08-25
Floating
2.44817300
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2004-6 8A1
576434SL9
429037.79550000
PA
USD
414755.73000000
0.113907710771
Long
ABS-O
CORP
US
N
2
2034-07-25
Fixed
5.50000000
N
N
N
N
N
N
Trapeza Cdo Xii Ltd / Inc
5493000R4ICCD2N68609
TRAP 2007-12A A3
89413GAE8
5396000.00000000
PA
USD
4499184.80000000
1.235647403611
Long
ABS-CBDO
CORP
KY
Y
2
2042-04-06
Floating
1.42899800
N
N
N
N
N
N
Morgan Stanley Finance LLC.
5493003FCPSE9RKT4B56
MS 8 07/31/37
61766YBS9
267000.00000000
PA
USD
238297.50000000
0.065445564085
Long
DBT
CORP
US
N
2
2037-07-31
Floating
0.00009900
N
N
N
N
N
N
Wamu Mortgage Pass-Through CTFS TR
N/A
WAMU 2004-S3 3A2
92922FVF2
89705.93100000
PA
USD
88199.39000000
0.024222909726
Long
ABS-O
CORP
US
N
2
2034-07-25
Fixed
6.00000000
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
SAST 2001-2 AF5
805564JL6
33830.09150000
PA
USD
34901.19000000
0.009585195257
Long
ABS-O
CORP
US
N
2
2029-03-25
Floating
7.17000100
N
N
N
N
N
N
Chevy Chase Funding Llc
N/A
CCMFC 2005-4A A2
16678REU7
244328.17980000
PA
USD
179549.16000000
0.049311033717
Long
ABS-O
CORP
US
Y
2
2036-10-25
Floating
1.25570900
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
G2 BU6365
3617N8CA1
118803.13000000
PA
USD
120000.57000000
0.032956724238
Long
ABS-MBS
USGA
US
N
2
2070-04-20
Floating
4.62700100
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 02/29/36
61760QJN5
816000.00000000
PA
USD
642600.00000000
0.176482420006
Long
DBT
CORP
US
N
2
2036-02-29
Floating
0.00009900
N
N
N
N
N
N
Master Asset Securitization Trust
N/A
MASTR 2004-9 4A1
57643MFQ2
3177014.58000000
PA
USD
2718094.82000000
0.746492299472
Long
ABS-O
CORP
US
N
2
2034-09-25
Fixed
6.00000000
N
N
N
N
N
N
GS Mortgage Securities Corp
CU46ESEFJB81SUVBJO28
GSR 2004-13F 2A1
36242DLR2
177526.83920000
PA
USD
171014.85000000
0.046967187340
Long
ABS-O
CORP
US
N
2
2034-11-25
Fixed
4.25000000
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2004-28CB 6A1
12667FYV1
47407.14870000
PA
USD
45606.30000000
0.012525225943
Long
ABS-O
CORP
US
N
2
2035-01-25
Fixed
6.00000000
N
N
N
N
N
N
CWMBS Inc
N/A
CWHL 2004-6 2A1
12669FVH3
54085.57000000
PA
USD
52427.00000000
0.014398449787
Long
ABS-O
CORP
US
N
2
2034-05-25
Floating
3.30958400
N
N
N
N
N
N
Ameriquest Mortgage Securities
N/A
AMSI 2004-FR1W A6
03072SRC1
57683.40120000
PA
USD
57350.79000000
0.015750709941
Long
ABS-O
CORP
US
N
2
2034-05-25
Floating
3.89092000
N
N
N
N
N
N
GS Mortgage Securities Corp
CU46ESEFJB81SUVBJO28
GSMPS 2005-RP3 1AF
362341LL1
193508.25680000
PA
USD
162435.06000000
0.044610850424
Long
ABS-O
CORP
US
Y
2
2035-09-25
Floating
1.35571000
N
N
N
N
N
N
Washington Mut Mtg
N/A
WAMMS 2003-MS9 2A
939336N66
82333.93680000
PA
USD
80572.08000000
0.022128160073
Long
ABS-O
CORP
US
N
2
2033-04-25
Fixed
7.50000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2017-KF37 B
302953AA2
2848068.30000000
PA
USD
2823816.71000000
0.775527554677
Long
ABS-O
USGSE
US
Y
2
2027-06-25
Floating
3.55329000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp
N/A
CSFB 2003-27 4A4
22541QL75
76492.03480000
PA
USD
74021.35000000
0.020329080267
Long
ABS-O
CORP
US
N
2
2033-11-25
Fixed
5.75000000
N
N
N
N
N
N
GS Mortgage Securities Corp
CU46ESEFJB81SUVBJO28
GSMPS 2000-1 A
36228FCQ7
1513889.04170000
PA
USD
1379299.92000000
0.378808259876
Long
ABS-O
CORP
US
Y
2
2029-06-19
Floating
8.50000000
N
N
N
N
N
N
Residential Accredit Loans Inc
N/A
RALI 2005-QA12 CB1
761118MY1
114275.03250000
PA
USD
58335.99000000
0.016021283362
Long
ABS-O
CORP
US
N
2
2035-12-25
Floating
3.59950700
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
GNR 2012-27 IO
38378BQJ1
108003.20180000
PA
USD
655.47000000
0.000180017011
Long
ABS-O
USGA
US
N
2
2053-04-16
Floating
0.45816800
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2005-61 2A1
12668AVP7
119705.60990000
PA
USD
113652.68000000
0.031213352017
Long
ABS-O
CORP
US
N
2
2035-12-25
Floating
1.56570800
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2005-3CB 1A9
12667FX75
38061.12000000
PA
USD
31784.70000000
0.008729288476
Long
ABS-O
CORP
US
N
2
2035-03-25
Fixed
5.00000000
N
N
N
N
N
N
U.S. AUTO FUNDING TRUST
N/A
USAUT 2020-1A D
90353QAD8
600000.00000000
PA
USD
611772.84000000
0.168016108461
Long
ABS-O
CORP
US
Y
2
2027-03-15
Fixed
9.35000000
N
N
N
N
N
N
Arcap Res Tr 2003-
N/A
ARCAP 2003-1A E
039280AE2
109993.15410000
PA
USD
111278.31000000
0.030561259637
Long
ABS-O
CORP
US
Y
2
2038-08-20
Fixed
7.11000000
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST
N/A
LMAT 2019-SL2 A
52473FAA3
796632.42000000
PA
USD
763971.92000000
0.209815769154
Long
ABS-O
CORP
US
Y
2
2059-02-25
Floating
3.37500000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS FLOAT 07/31/34
61760QEL4
220000.00000000
PA
USD
151800.00000000
0.041690058134
Long
DBT
CORP
US
N
2
2034-07-31
Floating
0.00009900
N
N
N
N
N
N
Jefferies Group LLC/Jefferies Group Capital Finance Inc
NY9Q8VBNB6D1L6YV0J84
JEF 10 05/31/34
47233JAP3
97000.00000000
PA
USD
72750.00000000
0.019979919165
Long
DBT
CORP
US
N
2
2034-05-31
Floating
0.15000100
N
N
N
N
N
N
Credit Suisse, Nassau Branch
N/A
CS FLOAT 09/30/30
22546VLJ3
507000.00000000
PA
USD
418908.75000000
0.115048288144
Long
DBT
CORP
CH
N
2
2030-09-30
Floating
8.05807100
N
N
N
N
N
N
1ST Horizon Mtg
N/A
FHASI 2005-AR5 1A1
32051GXN0
63740.81000000
PA
USD
59949.76000000
0.016464486031
Long
ABS-O
CORP
US
N
2
2035-11-25
Floating
2.62500100
N
N
N
N
N
N
New Residential Mortgage Loan Trust-2017
N/A
NRZT 2017-2A B2
64829KAU4
401119.66200000
PA
USD
353913.89000000
0.097198225616
Long
ABS-O
CORP
US
Y
2
2057-03-25
Floating
4.74999800
N
N
N
N
N
N
Ows Cre Funding I LLC
N/A
OWSCRE FLOAT 09/15/23
67114QAA2
1000000.00000000
PA
USD
996568.10000000
0.273695533752
Long
ABS-O
CORP
US
Y
2
2023-09-15
Floating
5.69999900
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS FLOAT 06/28/28
61760QCQ5
56000.00000000
PA
USD
43680.00000000
0.011996190640
Long
DBT
CORP
US
N
2
2028-06-28
Floating
1.55999900
N
N
N
N
N
N
Wamu Mortgage Pass-Through CTFS TR
N/A
WAMU 2002-AR18 A
929227ZC3
52740.48360000
PA
USD
52403.88000000
0.014392100155
Long
ABS-O
CORP
US
N
2
2033-01-25
Floating
2.57619200
N
N
N
N
N
N
Cwalt Incorporation
549300NHEJTDVQUV3M53
CWALT 2004-J10 2CB1
12667FVB8
102787.92900000
PA
USD
101587.38000000
0.027899761382
Long
ABS-O
CORP
US
N
2
2034-09-25
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 07/31/30
61760QGR9
182000.00000000
PA
USD
148557.50000000
0.040799544211
Long
DBT
CORP
US
N
2
2030-07-31
Floating
0.00009900
N
N
N
N
N
N
Csmc
N/A
CSMC 2010-18R 4A4
22944JDG3
59947.14400000
PA
USD
59404.14000000
0.016314638010
Long
ABS-O
CORP
US
Y
2
2038-04-26
Floating
2.50093100
N
N
N
N
N
N
Prime Mtg Trust
N/A
PRIME 2003-3 A9
74160MCS9
404937.90920000
PA
USD
394196.16000000
0.108261270267
Long
ABS-O
CORP
US
N
2
2034-01-25
Fixed
5.50000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
BACR Float 01/23/26
06747P3T4
75000.00000000
PA
USD
70515.60000000
0.019366267874
Long
DBT
CORP
GB
N
2
2026-01-23
Floating
0.00010100
N
N
N
N
N
N
Master Asset Securitization Trust
N/A
MASTR 2004-1 1A12
55265K5N5
11020.97840000
PA
USD
10657.89000000
0.002927062277
Long
ABS-O
CORP
US
N
2
2034-02-25
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust 2018-L1
N/A
MSC 2018-L1 B
61691QAJ7
72000.00000000
PA
USD
68215.69000000
0.018734625044
Long
ABS-O
CORP
US
N
2
2051-10-15
Floating
4.72041700
N
N
N
N
N
N
SALUDA GRADE ALTERNATIVE MORTGAGE TRUST
N/A
GRADE 2020-FIG1 A1
795811AA6
969284.19000000
PA
USD
965025.16000000
0.265032641774
Long
ABS-O
CORP
US
Y
2
2050-09-25
Fixed
3.32100000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS FLOAT 06/30/35
61760QGK4
120000.00000000
PA
USD
123300.00000000
0.033862873306
Long
DBT
CORP
US
N
2
2035-06-30
Floating
8.99999800
N
N
N
N
N
N
Morgan Stanley Finance LLC.
549300YTG00DJS1TOQ38
MS 9 06/30/36
61766YAE1
541000.00000000
PA
USD
416570.00000000
0.114405978372
Long
DBT
CORP
US
N
2
2036-06-30
Floating
0.00009900
N
N
N
N
N
N
Federal National Mortgage Association
B1V7KEBTPIMZEU4LTD58
FNW 2005-W3 3A
31394FSD8
254339.37720000
PA
USD
268892.68000000
0.073848165092
Long
ABS-O
USGSE
US
N
2
2045-04-25
Floating
3.33519100
N
N
N
N
N
N
FREMF 2018-KF46 Mortgage Trust
S6XOOCT0IEG5ABCC6L87
FREMF 2018-KF46 B
302955AC3
1889648.83620000
PA
USD
1840851.30000000
0.505567837373
Long
ABS-O
USGSE
US
Y
2
2028-03-25
Floating
2.75329100
N
N
N
N
N
N
Rbsgc Mtg Loan Tst
N/A
RBSGC 2007-B 3B1
74927XAR3
11266.82700000
PA
USD
10785.64000000
0.002962147289
Long
ABS-O
CORP
US
N
2
2035-07-25
Floating
5.62126000
N
N
N
N
N
N
Carrington Mtg Ln
N/A
CARR 2006-NC2 A3
14453FAC3
20023.07750000
PA
USD
19995.69000000
0.005491577592
Long
ABS-O
CORP
US
N
2
2036-06-25
Floating
1.15571200
N
N
N
N
N
N
Residential Asset Mortgage Products, Inc.
N/A
RAAC 2004-SP1 AII
7609855V9
49619.86000000
PA
USD
47087.90000000
0.012932129699
Long
ABS-O
CORP
US
N
2
2034-03-25
Floating
1.70570900
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2007-1 30PO
55275SAW0
27226.28650000
PA
USD
16599.30000000
0.004558799617
Long
ABS-O
CORP
US
N
2
2036-10-25
Fixed
0.00000000
N
N
N
N
N
N
Indymac MBS Inc
N/A
RAST 2003-A10 A2
45660NUE3
165000.00000000
PA
USD
159343.01000000
0.043761655798
Long
ABS-O
CORP
US
N
2
2033-09-25
Fixed
5.20000000
N
N
N
N
N
N
LSTAR SECURITIES INVESTMENT LTD
N/A
LSTRZ 2019-4 A1
54912JAA0
2392127.05000000
PA
USD
2367579.04000000
0.650227324208
Long
ABS-O
CORP
US
Y
2
2024-05-01
Floating
4.29999800
N
N
N
N
N
N
MELLO MORTGAGE CAPITAL ACCEPTANCE
N/A
MELLO 2018-MTG2 B5
585499BU9
880000.00000000
PA
USD
867774.16000000
0.238323815399
Long
ABS-O
CORP
US
Y
2
2048-10-25
Floating
4.31879000
N
N
N
N
N
N
GS Mortgage Backed Securities Trust 2014-EB1
N/A
GSMBS 2014-EB1A B3
36250BAS5
651025.06550000
PA
USD
650317.34000000
0.178601895324
Long
ABS-O
CORP
US
Y
2
2044-07-25
Floating
2.66356400
N
N
N
N
N
N
Freddie Mac Seasoned Credit Risk Transfer Trust
N/A
SCRT 2020-2 M
35563PRE1
3400000.00000000
PA
USD
3136867.20000000
0.861503135224
Long
ABS-O
USGSE
US
N
2
2059-11-25
Floating
4.25000200
N
N
N
N
N
N
CWMBS Inc
549300430UQIJMFG3R47
CWHL 2004-J5 A4
12669FF24
128213.32700000
PA
USD
123441.80000000
0.033901816984
Long
ABS-O
CORP
US
N
2
2034-07-25
Fixed
5.50000000
N
N
N
N
N
N
WFRBS COMMERCIAL MORTGAGE TRUST
N/A
WFRBS 2014-C24 B
92939KBR8
100000.00000000
PA
USD
94255.61000000
0.025886178263
Long
ABS-O
CORP
US
N
2
2047-11-15
Floating
4.20400100
N
N
N
N
N
N
Preferred Term Securities X, Ltd.
549300FIXBQYXV3XRC38
PRETSL FLOAT 07/03/33
74040YAB8
83437.40000000
PA
USD
77919.02000000
0.021399528811
Long
ABS-CBDO
CORP
KY
Y
2
2033-07-03
Floating
1.82557100
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CWHL 2007-15 2A2
17025TBJ9
51732.58960000
PA
USD
25985.87000000
0.007136709031
Long
ABS-O
CORP
US
N
2
2037-09-25
Fixed
6.50000000
N
N
N
N
N
N
HSBC USA, Inc.
549300LBOHZ4QSIWU288
HSBC FLOAT 05/21/29
40432XZ79
100000.00000000
PA
USD
85500.00000000
0.023481554482
Long
DBT
CORP
US
N
2
2029-05-21
Floating
7.33124900
N
N
N
N
N
N
BANC AMERICA FDG 2015-R4
549300R847L762RQF071
BAFC 2015-R4 5A1
05990RAP6
76504.95700000
PA
USD
75646.40000000
0.020775380854
Long
ABS-O
CORP
US
Y
2
2036-10-25
Floating
0.81785900
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp
N/A
CSFB 2003-19 1A19
22541QMR0
543291.66000000
PA
USD
542766.95000000
0.149064464418
Long
ABS-O
CORP
US
N
2
2033-07-25
Fixed
5.25000000
N
N
N
N
N
N
MID Ocean Cbo 2001-1 Ltd/Corp
N/A
MID 2001-1X A1L
G6106WAB8
3734310.56000000
PA
USD
1048075.34000000
0.287841382434
Long
ABS-CBDO
CORP
KY
Y
2
2036-11-05
Floating
2.39050100
N
N
N
N
N
N
Citigroup Inc.
6SHGI4ZSSLCXXQSBB395
C Float 06/11/33
1730T0TQ2
430000.00000000
PA
USD
290250.00000000
0.079713698112
Long
DBT
CORP
US
N
2
2033-06-11
Floating
0.00010100
N
N
N
N
N
N
Green Tree Financial Corporation
N/A
GT 1996-8 M1
393505QQ8
393463.26000000
PA
USD
397039.80000000
0.109042242052
Long
ABS-O
CORP
US
N
2
2026-11-15
Floating
7.85000200
N
N
N
N
N
N
Csmlt Trust
N/A
CSMLT 2015-2 B4
12637LAS8
1939993.63670000
PA
USD
1707956.82000000
0.469069954653
Long
ABS-O
CORP
US
Y
2
2045-08-25
Floating
3.87860800
N
N
N
N
N
N
GE WMC Mortgage Securities LLC
N/A
GEWMC 2005-2 M1
367910AW6
83628.28710000
PA
USD
73222.51000000
0.020109688396
Long
ABS-O
CORP
US
N
2
2035-12-25
Floating
1.66570900
N
N
N
N
N
N
Morgan Stanley Finance LLC.
549300YTG00DJS1TOQ38
MS 9 08/31/36
61766YAM3
3474000.00000000
PA
USD
3100545.00000000
0.851527676531
Long
DBT
CORP
US
N
2
2036-08-31
Floating
0.00009900
N
N
N
N
N
N
Cd Mtg Tr 2017-Cd3
N/A
CD 2017-CD3 D
12515GAM9
72000.00000000
PA
USD
52525.24000000
0.014425430231
Long
ABS-O
CORP
US
Y
2
2050-02-10
Fixed
3.25000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS 10 05/29/30
61760QGC2
1388000.00000000
PA
USD
1145100.00000000
0.314488047229
Long
DBT
CORP
US
N
2
2030-05-29
Floating
6.11000100
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp
N/A
CSFB 2002-NP14 M1
22541NDH9
249872.20870000
PA
USD
156658.63000000
0.043024422871
Long
ABS-O
CORP
US
N
2
2031-11-25
Floating
2.85536200
N
N
N
N
N
N
Perpetual Trustee Company Ltd as trustee for the Trust in respect of the RESIMAC Bastille Series 2019-1NC
N/A
RESI 2019-1NCA A1
76119UAA9
105709.85000000
PA
USD
106367.47000000
0.029212556046
Long
ABS-O
CORP
AU
Y
2
2057-09-05
Floating
1.73328800
N
N
N
N
N
N
Structured Adj Rate Mtg Loan Trust
N/A
SARM 2004-18 1A3
863579FS2
75253.17520000
PA
USD
69777.65000000
0.019163598715
Long
ABS-O
CORP
US
N
2
2034-12-25
Floating
2.71207400
N
N
N
N
N
N
Structured Asset Securities Corp.
N/A
SASC 2000-5 B3
8635722B8
72365.91860000
PA
USD
39050.45000000
0.010724739991
Long
ABS-O
CORP
US
N
2
2030-11-25
Floating
2.54397200
N
N
N
N
N
N
PHH Mortgage
N/A
PHHMC 2008-CIM1 11A1
69337LAA0
1260.12530000
PA
USD
1238.60000000
0.000340166706
Long
ABS-O
CORP
US
N
2
2038-05-25
Floating
3.04999900
N
N
N
N
N
N
Delta Funding Series 2000-2
9695008K5N8MKIT4XJ91
DELHE 2000-1 M2
24763LGL8
393699.10500000
PA
USD
350855.82000000
0.096358363191
Long
ABS-O
CORP
US
N
2
2030-05-15
Floating
8.59000000
N
N
N
N
N
N
Master Asset Securitization Trust
N/A
MASTR 2003-11 2A10
55265KX61
18881.35420000
PA
USD
17414.06000000
0.004782563726
Long
ABS-O
CORP
US
N
2
2033-12-25
Fixed
5.50000000
N
N
N
N
N
N
National City Mtg
N/A
NATCM 2008-1 2A1
635419AE4
578798.95910000
PA
USD
575176.60000000
0.157965387953
Long
ABS-O
CORP
US
N
2
2038-03-25
Fixed
6.00000000
N
N
N
N
N
N
First Franklin Mortgage Loan Trust
N/A
SASC 2005-RF3 2A
86359DME4
141625.51640000
PA
USD
125381.66000000
0.034434576379
Long
ABS-O
CORP
US
Y
2
2035-06-25
Floating
3.33572000
N
N
N
N
N
N
Dsla Mortgage Loan Trust
N/A
DSLA 2004-AR4 2A1A
23332UBV5
39912.12580000
PA
USD
32773.71000000
0.009000908268
Long
ABS-O
CORP
US
N
2
2045-01-19
Floating
1.64842900
N
N
N
N
N
N
Lstar Commercial Mortgage Trust 2017-5
N/A
LNSTR 2017-5 D
54910TAS1
1500000.00000000
PA
USD
1303766.70000000
0.358063962558
Long
ABS-O
CORP
US
Y
2
2050-03-10
Floating
4.67480200
N
N
N
N
N
N
Federal Home Loan Mortgage Corporation
N/A
FHMS K092 X3
3137FLYY4
847054.00000000
PA
USD
107394.00000000
0.029494480258
Long
ABS-O
USGSE
US
N
2
2047-05-25
Floating
2.32339000
N
N
N
N
N
N
JP Morgan Alt Loan
N/A
JPALT 2008-R4 1A1
466309AA9
698641.70930000
PA
USD
415653.21000000
0.114154192941
Long
ABS-O
CORP
US
Y
2
2036-12-27
Fixed
6.00000000
N
N
N
N
N
N
Impac CMB Trust
N/A
IMM 2004-8 3B
45254NKW6
91502.41000000
PA
USD
85820.29000000
0.023569518308
Long
ABS-O
CORP
US
N
2
2034-08-25
Floating
3.63071200
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 03/21/27
61760QAJ3
115000.00000000
PA
USD
119025.00000000
0.032688795582
Long
DBT
CORP
US
N
2
2027-03-21
Floating
7.99999900
N
N
N
N
N
N
Mastr Reperforming
N/A
MARP 2005-2 1A4
57643QAJ4
20554.89250000
PA
USD
17751.05000000
0.004875114008
Long
ABS-O
CORP
US
Y
2
2035-05-25
Fixed
8.00000000
N
N
N
N
N
N
GS Mortgage Securities Corp
CU46ESEFJB81SUVBJO28
GSMS 2000-1A A
36228FCU8
156243.85000000
PA
USD
147338.84000000
0.040464853787
Long
ABS-O
CORP
US
Y
2
2023-03-20
Floating
0.94443100
N
N
N
N
N
N
Sequoia Mtg Trust
N/A
SEMT 2007-2 1B1
81744LAE4
323787.35000000
PA
USD
235748.18000000
0.064745423776
Long
ABS-O
CORP
US
N
2
2036-06-20
Floating
1.52728900
N
N
N
N
N
N
CG-CCRE Commercial Mortgage Trust 2014-1FL1
N/A
CGCC 2014-FL1 B
12528MAC3
1990236.43500000
PA
USD
1932162.73000000
0.530645431741
Long
ABS-O
CORP
US
Y
2
2031-06-15
Floating
2.02470800
N
N
N
N
N
N
Steele Creek Clo 2018-2
N/A
STCR 2018-2A D
85816LAG3
500000.00000000
PA
USD
445006.50000000
0.122215723682
Long
ABS-CBDO
CORP
KY
Y
2
2031-08-18
Floating
4.85500000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2005-1 5A1
576434E34
2322.00000000
PA
USD
2092.35000000
0.000574638953
Long
ABS-O
CORP
US
N
2
2023-01-25
Fixed
5.50000000
N
N
N
N
N
N
CWMBS Inc
N/A
CWHL 2002-39 A37
12669DVM7
131410.36000000
PA
USD
124961.67000000
0.034319231138
Long
ABS-O
CORP
US
N
2
2033-02-25
Fixed
5.75000000
N
N
N
N
N
N
Deutsche Bank AG
N/A
DB Float 03/27/35
25152RYF4
738000.00000000
PA
USD
494460.00000000
0.135797537187
Long
DBT
CORP
DE
N
2
2035-03-27
Floating
0.00010100
N
N
N
N
N
N
Merrill Lynch Mortgage Investors, Inc.
N/A
MLMI 2003-A3 1A
589929R26
262761.34610000
PA
USD
245442.95000000
0.067407976641
Long
ABS-O
CORP
US
N
2
2033-05-25
Floating
2.11951400
N
N
N
N
N
N
Cps Auto Receivables Trust 2018-B
N/A
CPS 2018-B E
12595PAE0
2000000.00000000
PA
USD
2011790.40000000
0.552514220880
Long
ABS-O
CORP
US
Y
2
2024-12-16
Fixed
5.61000000
N
N
N
N
N
N
Federal Home Loan Mortgage Corporation
S6XOOCT0IEG5ABCC6L87
FSPC T-61 1A1
31395A3J2
24806.78000000
PA
USD
25534.34000000
0.007012701706
Long
ABS-O
USGA
US
N
2
2044-07-25
Floating
1.72373000
N
N
N
N
N
N
GS Mortgage Securities Corp
CU46ESEFJB81SUVBJO28
GSMPS 2004-4 1AF
36242DJQ7
1250315.82000000
PA
USD
1081268.87000000
0.296957589255
Long
ABS-O
CORP
US
Y
2
2034-06-25
Floating
1.40571000
N
N
N
N
N
N
Freddie Mac Seasoned Credit Risk Transfer Trust
N/A
SCRT 2017-3 B
35563PCG2
47201.54930000
PA
USD
11287.00000000
0.003099839829
Long
ABS-O
USGSE
US
N
2
2056-07-25
Fixed
0.00000000
N
N
N
N
N
N
Bear Stearns Arm Trust
N/A
BSARM 2004-10 12A5
07384M5Y4
55603.72040000
PA
USD
54321.64000000
0.014918790049
Long
ABS-O
CORP
US
N
2
2035-01-25
Floating
2.79573500
N
N
N
N
N
N
J.P. Morgan Chase Commercial Mortgage Securities Trust
N/A
JPMCC 2011-C4 C
46636DAU0
88547.13960000
PA
USD
88635.90000000
0.024342791987
Long
ABS-O
CORP
US
Y
2
2046-07-15
Floating
5.41882400
N
N
N
N
N
N
MortgageIT Trust
N/A
MHL 2005-3 M2
61915RAN6
346395.74000000
PA
USD
332375.30000000
0.091282908954
Long
ABS-O
CORP
US
N
2
2035-08-25
Floating
1.80070900
N
N
N
N
N
N
Freddie Mac Stacr Remic Trust
N/A
STACR 2022-HQA1 M2
35564KTJ8
1000000.00000000
PA
USD
968128.00000000
0.265884799745
Long
ABS-O
USGSE
US
Y
2
2042-03-25
Floating
5.83445900
N
N
N
N
N
N
CWMBS Inc
N/A
CWHL 2004-HYB5 6A2
12669F3H4
65573.26150000
PA
USD
60878.45000000
0.016719539654
Long
ABS-O
CORP
US
N
2
2035-04-20
Floating
2.56360000
N
N
N
N
N
N
American Residential Helt 98-1
N/A
AMHEL 1998-1 B
02926WAD8
81095.74200000
PA
USD
86043.91000000
0.023630932872
Long
ABS-O
CORP
US
N
2
2029-05-25
Floating
3.18071200
N
N
N
N
N
N
Jefferies Group LLC/Jefferies Group Capital Finance Inc
NY9Q8VBNB6D1L6YV0J84
JEF Float 01/31/38
47233JBG2
110000.00000000
PA
USD
79750.00000000
0.021902385613
Long
DBT
CORP
US
N
2
2038-01-31
Floating
0.15999800
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2004-6 4A1
576434SG0
932851.23000000
PA
USD
928903.59000000
0.255112283716
Long
ABS-O
CORP
US
N
2
2034-07-25
Fixed
6.25000000
N
N
N
N
N
N
J.P. MORGAN MORTGAGE TRUST
N/A
JPMMT 2014-IVR3 B2
46643BAY7
704650.79000000
PA
USD
704270.28000000
0.193419426319
Long
ABS-O
CORP
US
Y
2
2044-09-25
Floating
2.42487700
N
N
N
N
N
N
Mastr Seasoned Sec
N/A
MSSTR 2003-1 2A1
55265WAE3
386523.58290000
PA
USD
374339.59000000
0.102807900322
Long
ABS-O
CORP
US
N
2
2033-02-25
Fixed
6.00000000
N
N
N
N
N
N
Chase Mtg 2007-S3
N/A
CHASE 2007-S3 AP
16163HBE0
500908.73120000
PA
USD
146653.90000000
0.040276743192
Long
ABS-O
CORP
US
N
2
2037-05-25
Fixed
0.00000000
N
N
N
N
N
N
BNP Paribas SA
R0MUWSFPU8MPRO8K5P83
BNP FLOAT 04/30/33
05574LHR2
177000.00000000
PA
USD
121687.50000000
0.033420019428
Long
DBT
CORP
FR
N
2
2033-04-30
Floating
0.81600100
N
N
N
N
N
N
Bear Stearns Asset Backed Securities I Trust
N/A
BSABS 2004-FR2 M4
073879FJ2
141442.88410000
PA
USD
134867.90000000
0.037039858968
Long
ABS-O
CORP
US
N
2
2034-06-25
Floating
3.10570900
N
N
N
N
N
N
Business Loan Express Loan Trust
N/A
BLX 2006-AA C
12328MAY7
78481.20000000
PA
USD
72736.18000000
0.019976123667
Long
DBT
CORP
US
Y
2
2038-10-20
Floating
1.87728800
N
N
N
N
N
N
GS MORTGAGE SECURITIES TRUST
N/A
GSMS 2014-GC20 C
36252WBE7
26000.00000000
PA
USD
23949.79000000
0.006577523961
Long
ABS-O
CORP
US
N
2
2047-04-10
Floating
4.99433000
N
N
N
N
N
N
Banc America Mortgage Securitites Inc
549300IE5TDZLY0T0V30
BOAMS 2005-E 2A1
05949A6C9
60553.57000000
PA
USD
54149.99000000
0.014871648425
Long
ABS-O
CORP
US
N
2
2035-06-25
Floating
2.80624300
N
N
N
N
N
N
Banc America Mortgage Securitites Inc
549300IE5TDZLY0T0V30
BOAMS 2005-H 2A1
05949CFW1
31552.16000000
PA
USD
28432.60000000
0.007808674222
Long
ABS-O
CORP
US
N
2
2035-09-25
Floating
2.74179200
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust 2018-2
N/A
VCC 2018-2 A
92259BAA8
340028.83000000
PA
USD
324551.27000000
0.089134132502
Long
ABS-O
CORP
US
Y
2
2048-10-26
Floating
4.05000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp
N/A
CSFB 2005-3 7A5
225458LM8
33942.80670000
PA
USD
33547.31000000
0.009213368274
Long
ABS-O
CORP
US
N
2
2035-07-25
Fixed
5.75000000
N
N
N
N
N
N
Gmacm Mortgage Loan Trust
N/A
GMACM 2005-AR3 5A2
36185N7M6
19537.53000000
PA
USD
18734.34000000
0.005145162870
Long
ABS-O
CORP
US
N
2
2035-06-19
Floating
3.12556000
N
N
N
N
N
N
Citigroup Global Markets Holdings Inc.
82VOJDD5PTRDMVVMGV31
C FLOAT 04/25/32
17324CHH2
41000.00000000
PA
USD
31567.79000000
0.008669716734
Long
DBT
CORP
US
N
2
2032-04-25
Floating
11.76800000
N
N
N
N
N
N
Cg-Ccre Commercial Mortgage Trust
N/A
CGCC 2014-FL2 A
12528PAA0
819159.66250000
PA
USD
770952.68000000
0.211732951567
Long
ABS-O
CORP
US
Y
2
2031-11-15
Floating
2.72871000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
CMLTI 2014-10 4A1
17323FAH3
98096.43000000
PA
USD
94207.02000000
0.025872833599
Long
ABS-O
CORP
US
Y
2
2037-02-25
Floating
0.83702200
N
N
N
N
N
N
CWMBS Inc
N/A
CWHL 2003-60 2A1
12669FJD6
126897.38080000
PA
USD
110403.63000000
0.030321039215
Long
ABS-O
CORP
US
N
2
2034-02-25
Floating
2.11599400
N
N
N
N
N
N
Ellington Clo I Limted
254900V20GCNJI0I7591
ECLO 2018-3A D
28852LAL7
500000.00000000
PA
USD
471811.50000000
0.129577396991
Long
ABS-CBDO
CORP
KY
Y
2
2030-07-20
Floating
4.80271000
N
N
N
N
N
N
Impac Secured Assets Corp
N/A
IMSA 2003-2 A2
45254TMT8
229191.53570000
PA
USD
205698.53000000
0.056492646072
Long
ABS-O
CORP
US
N
2
2033-08-25
Fixed
6.00000000
N
N
N
N
N
N
Societe Generale S.A.
O2RNE8IBXP4R0TD8PU41
SOCGEN 12 1/2 01/31/35
83369FHQ3
203000.00000000
PA
USD
193357.50000000
0.053103329484
Long
DBT
CORP
FR
N
2
2035-01-31
Floating
12.49999900
N
N
N
N
N
N
WELLS FARGO MORTGAGE BACKED SECURITIES TRUST
549300EZH20KSD9JD814
WFMBS 2018-1 B1
94989UBH3
3041589.38020000
PA
USD
2833462.24000000
0.778176584364
Long
ABS-O
CORP
US
Y
2
2047-07-25
Floating
3.67575800
N
N
N
N
N
N
Chase Mtg 2007-S3
N/A
CHASE 2007-S3 1A17
16163HAS0
278937.18700000
PA
USD
62616.63000000
0.017196910045
Long
ABS-O
CORP
US
N
2
2037-05-25
Fixed
6.00000000
N
N
N
N
N
N
Bear Stearns Arm Trust
N/A
BSARM 2004-8 13A1
07384M2C5
918779.46000000
PA
USD
869802.45000000
0.238880861038
Long
ABS-O
CORP
US
N
2
2034-11-25
Floating
3.02659600
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 09/30/34
61760QEW0
120000.00000000
PA
USD
84750.00000000
0.023275575934
Long
DBT
CORP
US
N
2
2034-09-30
Floating
1.68500100
N
N
N
N
N
N
New Residential Mortgage Loan Trust 2020-1
N/A
NRZT 2020-1A A1B
64830TAD0
106443.11000000
PA
USD
103545.68000000
0.028437585103
Long
ABS-O
CORP
US
Y
2
2059-10-25
Floating
3.49999900
N
N
N
N
N
N
Bmd 2 Re-Remic Tr 2019-Frr1
N/A
BMD2 2019-FRR1 5A1
055631BQ7
330000.00000000
PA
USD
309615.24000000
0.085032130137
Long
ABS-O
CORP
US
Y
2
2052-05-25
Floating
3.49361600
N
N
N
N
N
N
Bank of Nova Scotia
L3I9ZG2KFGXZ61BMYR72
BNS FLOAT 01/30/34
064159DF0
120000.00000000
PA
USD
82200.00000000
0.022575248871
Long
DBT
CORP
CA
N
2
2034-01-30
Floating
0.00010100
N
N
N
N
N
N
Banc Amer Alternative Loan Trust
N/A
BOAA 2004-6 3A1
05948KSJ9
122115.52890000
PA
USD
120100.89000000
0.032984275929
Long
ABS-O
CORP
US
N
2
2034-07-25
Fixed
6.00000000
N
N
N
N
N
N
Master Asset Securitization Trust
N/A
MASTR 2003-11 7A5
55265K2K4
93312.37000000
PA
USD
90463.62000000
0.024844753470
Long
ABS-O
CORP
US
N
2
2033-12-25
Fixed
5.25000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
CBASS 2004-CB3 B1
17307GES3
92241.44000000
PA
USD
95981.83000000
0.026360263982
Long
ABS-O
CORP
US
N
2
2034-03-25
Floating
3.78070900
N
N
N
N
N
N
Asset Backed Funding Corp
5493009YQSUTUX056896
ABFC 2004-OPT2 A2
04542BFV9
68105.81590000
PA
USD
65242.10000000
0.017917964043
Long
ABS-O
CORP
US
N
2
2033-10-25
Floating
1.56570800
N
N
N
N
N
N
Structured Adj Rate Mtg Loan Trust
N/A
SARM 2005-15 1A1
863579UL0
377930.88130000
PA
USD
253789.28000000
0.069700196554
Long
ABS-O
CORP
US
N
2
2035-07-25
Floating
3.14797000
N
N
N
N
N
N
Credit Suisse AG London Branch
ANGGYXNX0JLX3X63JN86
CS 10 04/29/31
22548Q2R5
766000.00000000
PA
USD
639610.00000000
0.175661252194
Long
DBT
CORP
CH
N
2
2031-04-29
Floating
9.80399900
N
N
N
N
N
N
Cwalt Incorporation
549300NHEJTDVQUV3M53
CWALT 2004-J10 3A1
12667FVD4
25916.49000000
PA
USD
25842.50000000
0.007097334172
Long
ABS-O
CORP
US
N
2
2053-10-25
Fixed
5.00000000
N
N
N
N
N
N
Bear Stearns Arm Trust
N/A
BSARM 2004-1 124M
07384MG89
138722.37050000
PA
USD
131637.54000000
0.036152679151
Long
ABS-O
CORP
US
N
2
2034-04-25
Floating
2.84915900
N
N
N
N
N
N
Chec Loan Trust
N/A
CHEC 2004-1 M2
162765AE1
291370.16670000
PA
USD
285102.24000000
0.078299927271
Long
ABS-O
CORP
US
Y
2
2034-07-25
Floating
1.98070900
N
N
N
N
N
N
CWMBS Inc
N/A
CWALT 2003-J3 1A3
12669FEZ2
150676.91320000
PA
USD
145238.85000000
0.039888116599
Long
ABS-O
CORP
US
N
2
2033-11-25
Fixed
5.25000000
N
N
N
N
N
N
CWMBS Inc
N/A
CWHL 2002-19 1A1
12669DBA5
105025.27000000
PA
USD
96351.18000000
0.026461701551
Long
ABS-O
CORP
US
N
2
2032-11-25
Fixed
6.25000000
N
N
N
N
N
N
Wachovia Bank Commercial Mortgage Trust
N/A
WBCMT 2004-C12 IO
929766SJ3
1940462.94440000
PA
USD
4292.30000000
0.001178828962
Long
ABS-O
CORP
US
Y
2
2041-07-15
Floating
0.65066000
N
N
N
N
N
N
Federal Home Loan Mortgage Corporation
S6XOOCT0IEG5ABCC6L87
FSPC T-62 1A1
31395HHV5
24456.02000000
PA
USD
24850.25000000
0.006824824553
Long
ABS-O
USGA
US
N
2
2044-10-25
Floating
1.52372900
N
N
N
N
N
N
J P Morgan Tax Exempt Pass Thru Tr Ser 2012-3
N/A
JPTEP 2012-3 A
46637UAA5
135404.56880000
PA
USD
131941.87000000
0.036236259753
Long
ABS-O
CORP
US
Y
2
2042-10-27
Floating
2.99999900
N
N
N
N
N
N
Jefferies Group LLC/Jefferies Group Capital Finance Inc
NY9Q8VBNB6D1L6YV0J84
JEF 9 08/31/37
47233JAX6
150000.00000000
PA
USD
106500.00000000
0.029248953829
Long
DBT
CORP
US
N
2
2037-08-31
Floating
0.70999900
N
N
N
N
N
N
CSAIL COMMERCIAL MORTGAGE TRUST
N/A
CSAIL 2019-C16 C
12596WAJ3
470000.00000000
PA
USD
406300.23000000
0.111585508620
Long
ABS-O
CORP
US
N
2
2052-06-15
Floating
4.23709900
N
N
N
N
N
N
Tricon American Homes Trust
N/A
TAH 2017-SFR2 F
89613FAF5
1010000.00000000
PA
USD
994516.40000000
0.273132058836
Long
ABS-O
CORP
US
Y
2
2036-01-17
Fixed
5.10400000
N
N
N
N
N
N
JP MORGAN MORTGAGE TRUST
N/A
JPMMT 2020-LTV1 A11
46591NBC0
49908.76000000
PA
USD
49581.69000000
0.013617019357
Long
ABS-O
CORP
US
Y
2
2050-06-25
Floating
1.66785800
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
GNR 2012-H27 AI
38375BZC9
569764.47290000
PA
USD
16349.73000000
0.004490258196
Long
ABS-O
USGA
US
N
2
2062-10-20
Floating
1.74503200
N
N
N
N
N
N
Halcyon Loan Advisors Funding Ltd
549300NL4H585I318G08
HLA 2014-3A D
40538FAL7
1500000.00000000
PA
USD
1370469.00000000
0.376382953103
Long
ABS-CBDO
CORP
KY
Y
2
2025-10-22
Floating
4.78629000
N
N
N
N
N
N
Washington Mut Mtg
N/A
WAMU 2002-AR14 B1
939336DA8
63701.64600000
PA
USD
58734.32000000
0.016130679942
Long
ABS-O
CORP
US
N
2
2032-11-25
Floating
2.67138400
N
N
N
N
N
N
Deutsche Mortgage Securities Inc Mortgage Loan Trust
529900RSBMUF46QF5O69
DMSI 2004-1 1A1
251563CG5
36034.21320000
PA
USD
34750.97000000
0.009543939127
Long
ABS-O
CORP
US
N
2
2033-09-25
Fixed
5.50000000
N
N
N
N
N
N
Wamu Mortgage Pass-Through CTFS TR
N/A
WAMU 2003-S5 1A13
9292272R6
56451.63210000
PA
USD
54844.80000000
0.015062469699
Long
ABS-O
CORP
US
N
2
2033-06-25
Fixed
5.50000000
N
N
N
N
N
N
Bear Stearns Arm Trust
N/A
BSARM 2003-8 2A1
07384MZS4
48766.92000000
PA
USD
45988.99000000
0.012630327184
Long
ABS-O
CORP
US
N
2
2034-01-25
Floating
2.08744200
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS 10 08/31/30
61760QHC1
216000.00000000
PA
USD
176580.00000000
0.048495589363
Long
DBT
CORP
US
N
2
2030-08-31
Floating
0.00009900
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST
N/A
MSC 2014-150E D
61764BAN3
347000.00000000
PA
USD
313050.76000000
0.085975654699
Long
ABS-O
CORP
US
Y
2
2032-09-09
Floating
4.29503000
N
N
N
N
N
N
Impac CMB Trust
N/A
IMM 2005-4 2M2
45254NPP6
166078.06000000
PA
USD
148633.65000000
0.040820457899
Long
ABS-O
CORP
US
N
2
2035-05-25
Floating
2.13071000
N
N
N
N
N
N
GS Mortgage Securities Corp
N/A
GSR 2005-8F 3A4
362341WA3
28342.49500000
PA
USD
14588.62000000
0.004006590355
Long
ABS-O
CORP
US
N
2
2035-11-25
Fixed
6.00000000
N
N
N
N
N
N
CWMBS Inc
N/A
CWHL 2004-5 2A9
12669FWD1
85288.24630000
PA
USD
85358.88000000
0.023442797559
Long
ABS-O
CORP
US
N
2
2034-05-25
Fixed
5.25000000
N
N
N
N
N
N
AJAX MORTGAGE LOAN TRUST
N/A
AJAXM 2019-A A
00969LAA0
1013288.00000000
PA
USD
1012162.14000000
0.277978250710
Long
ABS-O
CORP
US
Y
2
2057-08-25
Floating
3.75000100
N
N
N
N
N
N
Naac Reperforming
N/A
NAA 2004-R1 A2
62951MAB6
179596.39500000
PA
USD
166959.63000000
0.045853469570
Long
ABS-O
CORP
US
Y
2
2034-03-25
Fixed
7.50000000
N
N
N
N
N
N
Credit Suisse, Nassau Branch
N/A
CS Float 09/30/30
22546VMD5
300000.00000000
PA
USD
235500.00000000
0.064677264101
Long
DBT
CORP
CH
N
2
2030-09-30
Floating
10.89749800
N
N
N
N
N
N
RADNOR RE LTD
254900JBDDKUTX6TX151
RMIR 2019-1 M1B
75049SAB9
223484.94000000
PA
USD
223003.46000000
0.061245238547
Long
ABS-O
CORP
BM
Y
2
2029-02-25
Floating
2.95571200
N
N
N
N
N
N
Residential Asset Mortgage Products, Inc.
N/A
RAAC 2005-SP1 4A1
76112BQY9
34262.61050000
PA
USD
33721.18000000
0.009261119595
Long
ABS-O
CORP
US
N
2
2034-09-25
Fixed
7.00000000
N
N
N
N
N
N
Cwalt Incorporation
549300NHEJTDVQUV3M53
CWALT 2004-J10 5CB1
12667FVG7
680013.00130000
PA
USD
663927.16000000
0.182339669942
Long
ABS-O
CORP
US
N
2
2034-11-25
Fixed
5.50000000
N
N
N
N
N
N
Jefferies Group LLC/Jefferies Group Capital Finance Inc
NY9Q8VBNB6D1L6YV0J84
JEF 8 09/30/37
47233JAY4
248000.00000000
PA
USD
171740.00000000
0.047166341132
Long
DBT
CORP
US
N
2
2037-09-30
Floating
0.56800100
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
SAST 2003-3 AF5
805564PA3
256560.63340000
PA
USD
239569.21000000
0.065794824058
Long
ABS-O
CORP
US
N
2
2033-12-25
Floating
4.26984500
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
MSBAM 2013-C11 AS
61762TAG1
4315000.00000000
PA
USD
4204449.70000000
1.154701926318
Long
ABS-O
CORP
US
N
2
2046-08-15
Floating
4.35055000
N
N
N
N
N
N
Bear Stearns Arm Trust
N/A
BSARM 2003-7 6A
07384MYW6
6114.42000000
PA
USD
6053.98000000
0.001662653347
Long
ABS-O
CORP
US
N
2
2033-10-25
Floating
2.47040600
N
N
N
N
N
N
Legacy Mortgage Asset Trust 2019-GS6
N/A
LMAT 2019-GS6 A1
52474VAA7
2666817.87000000
PA
USD
2664794.56000000
0.731854019248
Long
ABS-O
CORP
US
Y
2
2059-06-25
Floating
2.99999900
N
N
N
N
N
N
Lloyds Bank plc
H7FNTJ4851HG0EXQ1Z70
LLOYDS 10 10/25/33
5394E8CC1
136000.00000000
PA
USD
93160.00000000
0.025585282053
Long
DBT
CORP
GB
N
2
2033-10-25
Floating
0.00010100
N
N
N
N
N
N
First Horizon Alt
N/A
FHAMS 2007-FA4 1A8
32052WAH2
77316.58300000
PA
USD
39869.26000000
0.010949616384
Long
ABS-O
CORP
US
N
2
2037-08-25
Fixed
6.25000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS 10 03/31/34
61760QEE0
209000.00000000
PA
USD
144210.00000000
0.039605555227
Long
DBT
CORP
US
N
2
2034-03-31
Floating
0.00009900
N
N
N
N
N
N
Master Asset Securitization Trust
N/A
MASTR 2003-12 6A2
55265K4A4
50938.80260000
PA
USD
44304.07000000
0.012167584017
Long
ABS-O
CORP
US
N
2
2033-12-25
Fixed
5.00000000
N
N
N
N
N
N
ZAIS CLO 13 LTD
549300GODB02F7ODZK39
ZAIS 2019-13A D1
98876NAL8
500000.00000000
PA
USD
430089.50000000
0.118118947680
Long
ABS-CBDO
CORP
US
Y
2
2032-07-15
Floating
5.56429000
N
N
N
N
N
N
Residential Asset Mortgage Products, Inc.
N/A
RAAC 2005-SP2 2A
76112BF54
514270.22000000
PA
USD
430413.70000000
0.118207985340
Long
ABS-O
CORP
US
N
2
2044-06-25
Floating
1.60571200
N
N
N
N
N
N
New Century Home Equity Loan Trust 2005-1
N/A
NCHET 2003-B M1
64352VES6
259235.39000000
PA
USD
246114.97000000
0.067592538912
Long
ABS-O
CORP
US
N
2
2033-10-25
Floating
1.98070900
N
N
N
N
N
N
MASTR Asset Backed Securities Trust
N/A
MABS 2004-FRE1 M7
57643LEA0
1233411.44000000
PA
USD
1199934.68000000
0.329547737591
Long
ABS-O
CORP
US
N
2
2034-07-25
Floating
3.70571000
N
N
N
N
N
N
HSI Asset Loan Obligation Trust
N/A
HALO 2007-1 2A12
40431TAP6
213284.45880000
PA
USD
106339.81000000
0.029204959557
Long
ABS-O
CORP
US
N
2
2037-06-25
Fixed
6.50000000
N
N
N
N
N
N
Morgan Stanley ML
N/A
MSM 2005-10 5A1
61748HSL6
74005.58000000
PA
USD
33939.29000000
0.009321020903
Long
ABS-O
CORP
US
N
2
2035-12-25
Fixed
6.00000000
N
N
N
N
N
N
POINT SECURITIZATION TRUST
N/A
PNT 2021-1 A1
73090AAA3
1581999.69000000
PA
USD
1583866.45000000
0.434990015660
Long
ABS-O
CORP
US
Y
2
2052-02-25
Floating
3.22819900
N
N
N
N
N
N
Salomon Brothers Mtg Secs VII Inc
N/A
SBM7 1997-HUD2 B2
79548KXR4
116754.51000000
PA
USD
11870.90000000
0.003260200995
Long
ABS-O
CORP
US
N
2
2024-07-25
Floating
5.67200200
N
N
N
N
N
N
Beacon Hill CBO III Ltd.
N/A
GALLA 5A B
073605AC1
6329348.72300000
PA
USD
6064357.88000000
1.665503508323
Long
ABS-O
CORP
KY
Y
2
2037-09-19
Floating
3.32786200
N
N
N
N
N
N
Strctrd Asset Invt
N/A
SAIL 2003-BC9 M3
86358EDM5
527272.93800000
PA
USD
512917.93000000
0.140866787350
Long
ABS-O
CORP
US
N
2
2033-08-25
Floating
4.15571000
N
N
N
N
N
N
VISTA POINT SECURITIZATION TRUST
N/A
VSTA 2020-1 M1
92838WAD6
538000.00000000
PA
USD
530955.54000000
0.145820601641
Long
ABS-O
CORP
US
Y
2
2065-03-25
Floating
4.15100200
N
N
N
N
N
N
DLJ Mortgage Acceptance Corportion
N/A
DLJMA 1993-19 B2
23321PGH5
1649.93380000
PA
USD
1507.34000000
0.000413972939
Long
ABS-O
CORP
US
N
2
2024-01-25
Fixed
6.75000000
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2005-72 A3
12668A3Q6
164122.03280000
PA
USD
158143.07000000
0.043432106599
Long
ABS-O
CORP
US
N
2
2036-01-25
Floating
1.60571200
N
N
N
N
N
N
Bellemeade Re Limited
N/A
BMIR 2019-2A M1C
07877BAE0
1986021.00000000
PA
USD
1971523.84000000
0.541455490793
Long
ABS-O
CORP
BM
Y
2
2029-04-25
Floating
3.00570800
N
N
N
N
N
N
Belvedere SPV S.r.l.
815600EE6F87DF1A1266
BLVDR 1 A
T30242AA8
1591305.91000000
PA
1578154.62000000
0.433421329726
Long
ABS-O
CORP
IT
N
2
2038-12-31
Floating
2.70600100
N
N
N
N
N
N
Mastr Adjustable Rate Mortgages Trust
N/A
MARM 2003-6 7A1
576433GN0
23053.85450000
PA
USD
21904.02000000
0.006015677649
Long
ABS-O
CORP
US
N
2
2033-12-25
Floating
2.12499700
N
N
N
N
N
N
Ubs-Barclays Commercial Mortgage Trust 2012-C2
N/A
UBSBB 2012-C2 ASEC
90269CAF7
3137194.00000000
PA
USD
3132455.27000000
0.860291451310
Long
ABS-O
CORP
US
Y
2
2063-05-10
Fixed
4.17900000
N
N
N
N
N
N
BREAN ASSET BACKED SECURITIES TRUST
N/A
BABS 2021-RM1 M1
10638CAB8
1018603.20000000
PA
USD
683686.47000000
0.187766328589
Long
ABS-O
CORP
US
Y
2
2063-10-25
Fixed
1.60000000
N
N
N
N
N
N
Novastar Mortgage Funding Trust
N/A
NHEL 2003-4 A1
66987XDE2
370707.58440000
PA
USD
360636.05000000
0.099044386625
Long
ABS-O
CORP
US
N
2
2034-02-25
Floating
1.74570800
N
N
N
N
N
N
LB-UBS Commercial Mortgage Trust
N/A
LBUBS 2007-C6 C
52109PAK1
48354.57370000
PA
USD
42408.02000000
0.011646856516
Long
ABS-O
CORP
US
N
2
2040-07-15
Floating
6.85946900
N
N
N
N
N
N
Bayview Commercial Asset Trust 2006-SP2
N/A
BAYC 2005-2A M1
07324SBQ4
41012.05000000
PA
USD
36169.80000000
0.009933603851
Long
ABS-O
CORP
US
Y
2
2035-08-25
Floating
1.65071200
N
N
N
N
N
N
CWMBS Inc
549300430UQIJMFG3R47
CWHL 2005-8R A5
12669GQJ3
154248.66500000
PA
USD
151568.81000000
0.041626564560
Long
ABS-O
CORP
US
N
2
2034-10-25
Fixed
6.00000000
N
N
N
N
N
N
Security National Mortgage Loan Tst
N/A
SNMLT 2005-2A A3
81441PCP4
442517.63560000
PA
USD
423412.20000000
0.116285106934
Long
ABS-O
CORP
US
Y
2
2036-02-25
Floating
6.21299900
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2004-7 9A1
576434TM6
1288668.46000000
PA
USD
1298464.92000000
0.356607891962
Long
ABS-O
CORP
US
N
2
2034-08-25
Fixed
6.00000000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JPMMT 2004-A3 3A3
466247CZ4
22700.79600000
PA
USD
20704.50000000
0.005686243798
Long
ABS-O
CORP
US
N
2
2034-07-25
Floating
2.24743300
N
N
N
N
N
N
GS Mortgage Securities Corp II
N/A
GSMSC 2008-2R 2A1
3622X1AC3
827956.60180000
PA
USD
243271.98000000
0.066811745643
Long
ABS-O
CORP
US
Y
2
2036-10-25
Floating
7.49999900
N
N
N
N
N
N
Nomura America Finance LLC
549300U646RSSKIVOJ29
NOMURA FLOAT 07/29/34
65539ABE9
890000.00000000
PA
USD
609650.00000000
0.167433095793
Long
DBT
CORP
US
N
2
2034-07-29
Floating
1.44400000
N
N
N
N
N
N
Gmacm Mortgage Loan Trust
N/A
GMACM 2006-AR1 1A1
36185MDN9
122484.55000000
PA
USD
96010.69000000
0.026368190036
Long
ABS-O
CORP
US
N
2
2036-04-19
Floating
2.89465600
N
N
N
N
N
N
Wells Fargo Mortgage Backed Secs
N/A
WFMBS 2007-7 A6
94985JAF7
93756.40090000
PA
USD
83781.07000000
0.023009470875
Long
ABS-O
CORP
US
N
2
2037-06-25
Fixed
6.00000000
N
N
N
N
N
N
Sequoia Mtg Trust
N/A
SEMT 2004-10 A1A
81744FET0
46142.07900000
PA
USD
43347.66000000
0.011904917426
Long
ABS-O
CORP
US
N
2
2034-11-20
Floating
1.54729100
N
N
N
N
N
N
Sequoia Mtg Trust
N/A
SEMT 2005-2 A1
81744FGY7
83094.43300000
PA
USD
74246.81000000
0.020391000165
Long
ABS-O
CORP
US
N
2
2035-03-20
Floating
1.36729100
N
N
N
N
N
N
Master Asset Securitization Trust
N/A
MASTR 2003-12 6A1
55265K3Z0
20659.62000000
PA
USD
20085.88000000
0.005516347199
Long
ABS-O
CORP
US
N
2
2033-12-25
Fixed
5.00000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities Corp
N/A
CSFB 2003-21 1A4
22541QPB2
33155.12000000
PA
USD
31319.06000000
0.008601406008
Long
ABS-O
CORP
US
N
2
2033-09-25
Fixed
5.25000000
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
BSABS 2004-1 M1
07384YSY3
435339.88000000
PA
USD
436671.85000000
0.119926711541
Long
ABS-O
CORP
US
N
2
2034-06-25
Floating
1.98070900
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
549300R1KUK063S4I339
CMLTI 2005-2 2A11
17307GRM2
54963.55000000
PA
USD
53484.21000000
0.014688799895
Long
ABS-O
CORP
US
N
2
2035-05-25
Fixed
5.50000000
N
N
N
N
N
N
Ready Capital Mortgage Trust
N/A
RCMT 2018-4 D
75575KAL6
7630000.00000000
PA
USD
7276165.62000000
1.998312040128
Long
ABS-O
CORP
US
Y
2
2051-02-27
Floating
5.19079300
N
N
N
N
N
N
Bayview Financial Revolving Mtg Ln
N/A
BFAT 2007-SR1A A
07325QAA3
595946.50400000
PA
USD
580533.54000000
0.159436607585
Long
ABS-O
CORP
US
Y
2
2037-03-25
Floating
1.45571000
N
N
N
N
N
N
Jefferies Group LLC/Jefferies Group Capital Finance Inc
NY9Q8VBNB6D1L6YV0J84
JEF FLOAT 07/31/37
47233JAT5
1168000.00000000
PA
USD
905200.00000000
0.248602375645
Long
DBT
CORP
US
N
2
2037-07-31
Floating
0.18000000
N
N
N
N
N
N
PROGRESS RESIDENTIAL TRUST
N/A
PROG 2021-SFR3 F
74333VAN4
100000.00000000
PA
USD
89416.34000000
0.024557130518
Long
ABS-O
CORP
US
Y
2
2026-05-17
Fixed
3.43600000
N
N
N
N
N
N
Wamu Mortgage Pass-Through CTFS TR
N/A
WAMU 2006-AR8 1A1
93362FAA1
137932.70530000
PA
USD
100854.05000000
0.027698361051
Long
ABS-O
CORP
US
N
2
2046-08-25
Floating
2.84333000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2004-6 7A1
576434SK1
82960.94500000
PA
USD
79345.05000000
0.021791170929
Long
ABS-O
CORP
US
N
2
2034-07-25
Fixed
6.00000000
N
N
N
N
N
N
MASTR Specialized Loan Trust
N/A
MASD 2005-3 M1
576436CP2
80217.98400000
PA
USD
77578.43000000
0.021305989833
Long
ABS-O
CORP
US
Y
2
2035-11-25
Floating
2.13071000
N
N
N
N
N
N
Citicorp Mortgage Securities Trust
549300ISEJNGWSXAKR30
CMSI 2006-6 A4
173100AD0
46498.53900000
PA
USD
44758.35000000
0.012292346597
Long
ABS-O
CORP
US
N
2
2036-11-25
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS FLOAT 01/30/34
61760QDW1
117000.00000000
PA
USD
89651.25000000
0.024621645746
Long
DBT
CORP
US
N
2
2034-01-30
Floating
0.00010100
N
N
N
N
N
N
Morgan Stanley ML
N/A
MSM 2004-2AR 2A
61748HAB7
28646.86000000
PA
USD
27623.08000000
0.007586349216
Long
ABS-O
CORP
US
N
2
2034-02-25
Floating
1.97497400
N
N
N
N
N
N
Bear Stearns Structured Prods Inc
N/A
BSSP 2007-R6 1A1
07402FAA3
220909.52000000
PA
USD
181065.62000000
0.049727511356
Long
ABS-O
CORP
US
N
2
2036-01-26
Floating
2.81364100
N
N
N
N
N
N
Citigroup Inc.
6SHGI4ZSSLCXXQSBB395
C FLOAT 11/26/33
1730T0C56
1037000.00000000
PA
USD
733677.50000000
0.201495768291
Long
DBT
CORP
US
N
2
2033-11-26
Floating
0.00010100
N
N
N
N
N
N
Blackrock Cap Fin
N/A
BCF 1997-R2 1B1
05535DBE3
99409.16700000
PA
USD
72568.69000000
0.019930124537
Long
ABS-O
CORP
US
Y
2
2035-12-25
Floating
3.50230000
N
N
N
N
N
N
Bayview Commercial Asset Trust 2006-SP2
N/A
BAYC 2005-4A M1
07324SCT7
31534.64400000
PA
USD
27731.43000000
0.007616106250
Long
ABS-O
CORP
US
Y
2
2036-01-25
Floating
1.68071000
N
N
N
N
N
N
Fort Knox Military Housing Privatization Project
N/A
FTKNOX FLOAT 02/15/52
347508AB9
187105.82000000
PA
USD
124105.61000000
0.034084124477
Long
DBT
CORP
US
N
2
2052-02-15
Floating
1.21470800
N
N
N
N
N
N
Select Notes Trust
N/A
SELECT 6.05 02/22/33
81619PAA5
634875.69000000
PA
USD
584566.58000000
0.160544233883
Long
DBT
CORP
US
N
2
2033-02-22
Fixed
5.91000000
N
N
N
N
N
N
Deutsche Bank AG
N/A
DB Float 08/28/34
25152RXC2
1257000.00000000
PA
USD
845332.50000000
0.232160481341
Long
DBT
CORP
DE
N
2
2034-08-28
Floating
0.00010100
N
N
N
N
N
N
Bayview Commercial Asset Trust 2006-SP2
N/A
BAYC 2005-2A B1
07324SBW1
63460.74930000
PA
USD
59342.77000000
0.016297783472
Long
ABS-O
CORP
US
Y
2
2035-08-25
Floating
2.73071200
N
N
N
N
N
N
Mastr Adjustable Rate Mortgages Trust
N/A
MARM 2003-1 2A1
576433DA1
39883.54500000
PA
USD
36688.85000000
0.010076154738
Long
ABS-O
CORP
US
N
2
2032-12-25
Floating
2.63711500
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2004-3 6A1
576434NZ3
471393.34000000
PA
USD
457628.37000000
0.125682169625
Long
ABS-O
CORP
US
N
2
2034-04-25
Fixed
6.50000000
N
N
N
N
N
N
Jp Morgan Chase Cmbs 2015-Fl7
N/A
JPMCC 2015-FL7 D
46644PAG4
114920.46400000
PA
USD
106243.97000000
0.029178638245
Long
ABS-O
CORP
US
Y
2
2028-05-15
Floating
4.62471100
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
549300R1KUK063S4I339
CMLTI 2010-9 5A3
17317JBJ8
5047.31160000
PA
USD
4934.42000000
0.001355179556
Long
ABS-O
CORP
US
Y
2
2037-03-25
Floating
5.70200000
N
N
N
N
N
N
Jefferies Group LLC/Jefferies Group Capital Finance Inc
NY9Q8VBNB6D1L6YV0J84
JEF 5 03/20/40
47233JDA3
280000.00000000
PA
USD
274173.00000000
0.075298341955
Long
DBT
CORP
US
N
2
2040-03-20
Fixed
5.00000000
N
N
N
N
N
N
DEERPATH CAPITAL CLO 2020-1
9845003DAB58C69E1D91
DPATH 2020-1A C1
24460RAG8
1000000.00000000
PA
USD
980226.00000000
0.269207371044
Long
ABS-CBDO
CORP
KY
Y
2
2032-04-17
Floating
4.94429000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS FLOAT 11/28/34
61760QFL3
30000.00000000
PA
USD
21187.50000000
0.005818893983
Long
DBT
CORP
US
N
2
2034-11-28
Floating
3.86500000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2003-5 8A1
576434FK5
44940.90390000
PA
USD
43648.36000000
0.011987501092
Long
ABS-O
CORP
US
N
2
2033-06-25
Fixed
5.50000000
N
N
N
N
N
N
Bella Vista Mortgage Trust
N/A
BVMBS 2004-1 1A
07820QAA3
41911.86000000
PA
USD
41355.52000000
0.011357799953
Long
ABS-O
CORP
US
N
2
2034-11-20
Floating
1.62843100
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2004-1 4A1
576434LV4
226697.66160000
PA
USD
218121.53000000
0.059904474743
Long
ABS-O
CORP
US
N
2
2034-02-25
Fixed
5.50000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2003-3 B2
576434ED2
183697.72970000
PA
USD
169619.69000000
0.046584023299
Long
ABS-O
CORP
US
N
2
2033-05-25
Floating
6.17267500
N
N
N
N
N
N
Hero Funding Trust 2015-2
N/A
HERO 2015-2A A
42770UAA1
87679.44250000
PA
USD
85925.00000000
0.023598275659
Long
ABS-O
CORP
US
Y
2
2040-09-20
Fixed
3.99000000
N
N
N
N
N
N
Bcap Llc Tr 06-Aa2
N/A
BCAP 2011-RR5 12A1
05534AAN1
587017.32000000
PA
USD
569756.46000000
0.156476811196
Long
ABS-O
CORP
US
Y
2
2037-03-26
Floating
4.77744100
N
N
N
N
N
N
United States Treasury Bills
254900HROIFWPRGM1V77
B 06/30/22
912796R50
8000000.00000000
PA
USD
7995595.20000000
2.195894787253
Long
DBT
UST
US
N
2
2022-06-30
Fixed
0.00000000
N
N
N
N
N
N
Lstar Commercial Mortgage Trust 2015-3
N/A
LNSTR 2015-3 AS
54910JAN4
42929.53520000
PA
USD
42581.90000000
0.011694610582
Long
ABS-O
CORP
US
Y
2
2048-04-20
Floating
3.14555400
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS FLOAT 03/31/31
61745E7D7
167000.00000000
PA
USD
171592.50000000
0.047125832018
Long
DBT
CORP
US
N
2
2031-03-31
Floating
8.99999800
N
N
N
N
N
N
UBS-Bamll Trust 2012-WRM
N/A
UBSBM 2012-WRM A
90269PAA9
174000.00000000
PA
USD
173777.78000000
0.047725993087
Long
ABS-O
CORP
US
Y
2
2030-06-10
Fixed
3.66300000
N
N
N
N
N
N
LSTAR SECURITIES INVESTMENT LTD
N/A
LSTRZ 2019-3 A1
50220XAA4
199113.55000000
PA
USD
194137.70000000
0.053317602101
Long
ABS-O
CORP
US
Y
2
2024-04-01
Floating
4.29999800
N
N
N
N
N
N
Natixis US Medium Term Note Program LLC
549300MPTYP2BAQOK371
KNFP FLOAT 04/30/34
63873HKC7
282000.00000000
PA
USD
208680.00000000
0.057311471221
Long
DBT
CORP
US
N
2
2034-04-30
Floating
1.07999900
N
N
N
N
N
N
Indymac MBS Inc
N/A
RAST 2002-A12 A4
45660NHW8
10000.00000000
PA
USD
9889.31000000
0.002715980953
Long
ABS-O
CORP
US
N
2
2032-11-25
Fixed
5.75000000
N
N
N
N
N
N
Soundview 06-Opt4
N/A
SVHE 2006-OPT4 1A1
83611YAA0
89621.69040000
PA
USD
88169.40000000
0.024214673331
Long
ABS-O
CORP
US
N
2
2036-06-25
Floating
1.30570900
N
N
N
N
N
N
FINANCE OF AMERICA HECM BUYOUT 2022-HB1
N/A
FAHB 2022-HB1 M3
31735JAD7
473000.00000000
PA
USD
457095.47000000
0.125535815001
Long
ABS-O
CORP
US
Y
2
2025-11-25
Floating
5.08380100
N
N
N
N
N
N
Csail Commercial Mortagage Trust
N/A
CSAIL 2018-C14 D
12596GAG4
265000.00000000
PA
USD
229140.57000000
0.062930722557
Long
ABS-O
CORP
US
Y
2
2051-11-15
Floating
4.92323800
N
N
N
N
N
N
Bank of Nova Scotia
L3I9ZG2KFGXZ61BMYR72
BNS Float 08/28/34
064159FM3
100000.00000000
PA
USD
67500.00000000
0.018538069328
Long
DBT
CORP
CA
N
2
2034-08-28
Floating
0.00010100
N
N
N
N
N
N
Mastr Adjustable Rate Mortgages Trust
N/A
MARM 2004-15 4A1
576433VN3
190829.29000000
PA
USD
186413.63000000
0.051196278469
Long
ABS-O
CORP
US
N
2
2034-12-25
Floating
1.94222500
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust 2018-2
N/A
VCC 2018-2 M5
92259BAR1
574296.46900000
PA
USD
547660.31000000
0.150408367336
Long
ABS-O
CORP
US
Y
2
2048-10-26
Floating
6.36000100
N
N
N
N
N
N
Ukraine (Republic of)
6354001WLTJXOMEXPY07
UKRAIN 0 05/31/40
X5S005UN9
375000.00000000
PA
USD
146250.00000000
0.040165816878
Long
DBT
NUSS
UA
Y
2
2040-05-31
Floating
1.25799800
N
N
N
N
N
N
Mill City Mortgage Loan Trust
N/A
MCMLT 2015-2 B1
599808BJ0
585000.00000000
PA
USD
558022.42000000
0.153254197167
Long
ABS-O
CORP
US
Y
2
2057-09-25
Floating
3.61798600
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2005-27 2A1
12667GN33
218774.26640000
PA
USD
190436.98000000
0.052301243524
Long
ABS-O
CORP
US
N
2
2035-08-25
Floating
1.67373000
N
N
N
N
N
N
Salomon Brothers Mtg Secs VII Inc
N/A
CBASS 2002-CB3 B2
79549ARB7
1000000.00000000
PA
USD
993597.60000000
0.272879721383
Long
ABS-O
CORP
US
N
2
2032-06-25
Floating
4.38071000
N
N
N
N
N
N
Business Loan Express Loan Trust
N/A
BLX 2005-AA C
12328MAQ4
28074.67000000
PA
USD
25745.92000000
0.007070809627
Long
DBT
CORP
US
Y
2
2038-09-25
Floating
1.76785900
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
VCC 2017-2 M5
92258VAG2
349706.99070000
PA
USD
334911.41000000
0.091979421295
Long
ABS-O
CORP
US
Y
2
2047-11-25
Floating
6.41999900
N
N
N
N
N
N
Freddie Mac Seasoned Credit Risk Transfer Trust
N/A
SCRT 2019-1 M
35563PJQ3
860000.00000000
PA
USD
816563.55000000
0.224259432606
Long
ABS-O
USGSE
US
N
2
2058-07-25
Floating
4.74999800
N
N
N
N
N
N
Citicorp Mortgage Securities
549300ISEJNGWSXAKR30
CMSI 2005-7 2A1
1729733N7
23210.34710000
PA
USD
23263.13000000
0.006388940988
Long
ABS-O
CORP
US
N
2
2055-10-25
Fixed
5.00000000
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2005-14 2A1
12667GCB7
92475.66300000
PA
USD
81304.13000000
0.022329208868
Long
ABS-O
CORP
US
N
2
2035-05-25
Floating
1.42571200
N
N
N
N
N
N
EdLinc Student Loan Funding Trust 2012-1
N/A
ESLFT 2012-1 B
28108QAB0
760000.00000000
PA
USD
927929.60000000
0.254844788988
Long
ABS-O
CORP
US
Y
2
2040-11-26
Floating
5.24571100
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2004-6 10A1
576434SN5
70592.94200000
PA
USD
68047.37000000
0.018688397965
Long
ABS-O
CORP
US
N
2
2034-07-25
Fixed
6.00000000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2004-4 1A1
576434PX6
32879.52800000
PA
USD
32422.68000000
0.008904502068
Long
ABS-O
CORP
US
N
2
2034-05-25
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley ML
N/A
MSM 2004-10AR 2A2
61748HFE6
32970.18260000
PA
USD
31098.80000000
0.008540914228
Long
ABS-O
CORP
US
N
2
2034-11-25
Floating
2.67580100
N
N
N
N
N
N
JP Morgan Mbs
N/A
JPMBS 2006-R1 6A1
46628AAK8
469443.04900000
PA
USD
388058.99000000
0.106575769779
Long
ABS-O
CORP
US
Y
2
2044-09-28
Floating
3.95183900
N
N
N
N
N
N
CitiMortgage Alternative Loan Trust
N/A
CMALT 2007-A6 1A5
18976GAE6
65214.12300000
PA
USD
60226.82000000
0.016540577253
Long
ABS-O
CORP
US
N
2
2037-06-25
Fixed
6.00000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
CMLTI 2003-1 3A4
17307GBT4
14707.08900000
PA
USD
13437.96000000
0.003690575320
Long
ABS-O
CORP
US
N
2
2033-09-25
Fixed
5.25000000
N
N
N
N
N
N
Morgan Stanley Finance LLC.
5493003FCPSE9RKT4B56
MS 9 04/28/37
61766YBH3
361000.00000000
PA
USD
322192.50000000
0.088486324475
Long
DBT
CORP
US
N
2
2037-04-28
Floating
8.99999800
N
N
N
N
N
N
Wamu Mortgage Pass-Through CTFS TR
N/A
WAMU 2002-AR17 1A
929227XB7
57372.18200000
PA
USD
50974.05000000
0.013999414412
Long
ABS-O
CORP
US
N
2
2042-11-25
Floating
1.52372900
N
N
N
N
N
N
Commercial Mortgage Trust 2013-CR
549300MGZ5FI5VFL1177
COMM 2013-CR12 B
12591KAH8
100000.00000000
PA
USD
98353.71000000
0.027011672513
Long
ABS-O
CORP
US
N
2
2046-10-10
Floating
4.76200100
N
N
N
N
N
N
Salomon Brothers Mtg Secs VII Inc
N/A
SBM7 2002-HYB1 B2
79549ARL5
4424.10040000
PA
USD
3862.05000000
0.001060665935
Long
ABS-O
CORP
US
N
2
2032-09-25
Floating
2.23200000
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2004-7 10A1
576434TN4
61458.83240000
PA
USD
59654.57000000
0.016383415620
Long
ABS-O
CORP
US
N
2
2034-06-25
Fixed
6.00000000
N
N
N
N
N
N
1ST Horizon Mtg
N/A
FHASI 2005-AR5 3A1
32051GXT7
81326.62000000
PA
USD
45519.08000000
0.012501272011
Long
ABS-O
CORP
US
N
2
2035-10-25
Floating
2.62500100
N
N
N
N
N
N
Bear Stearns Asset Backed Securities Trust
N/A
BSABS 2003-AC7 A1
07384YPH3
656162.06660000
PA
USD
600148.14000000
0.164823523357
Long
ABS-O
CORP
US
N
2
2034-01-25
Floating
5.50000100
N
N
N
N
N
N
Bayview Commercial Asset Trust 2006-SP2
N/A
BAYC 2005-3A A1
07324SCB6
214539.89500000
PA
USD
194582.35000000
0.053439719916
Long
DBT
CORP
US
Y
2
2035-11-25
Floating
1.48570900
N
N
N
N
N
N
National Collegiat
N/A
NCT 2005-GATE B
63544AAQ1
41920.25130000
PA
USD
37943.65000000
0.010420770581
Long
ABS-O
CORP
US
Y
2
2023-04-26
Floating
1.45571000
N
N
N
N
N
N
United States Treasury Bills
254900HROIFWPRGM1V77
B 07/26/22
912796X38
10000000.00000000
PA
USD
9987319.44000000
2.742898076797
Long
DBT
UST
US
N
2
2022-07-26
Fixed
0.00000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS 2020-INV1 M1
92537TAF2
593000.00000000
PA
USD
590415.23000000
0.162150495796
Long
ABS-O
CORP
US
Y
2
2060-04-25
Fixed
5.50000000
N
N
N
N
N
N
Argentina (Republic of)
549300KPBYGYF7HCHO27
ARGBON 0 1/2 07/09/30
P8S090UG9
200000.00000000
PA
USD
51355.60000000
0.014104202565
Long
DBT
NUSS
AR
N
2
2030-07-09
Floating
0.50000000
N
N
N
N
N
N
EMC Mortgage Loan Trust
N/A
EMCM 2001-A M1
268668AC4
318855.05000000
PA
USD
296688.88000000
0.081482059650
Long
ABS-O
CORP
US
Y
2
2040-05-25
Floating
2.05571200
N
N
N
N
N
N
CWMBS Inc
549300430UQIJMFG3R47
CWHL 2006-J1 3A1
126694XX1
111651.56280000
PA
USD
56429.47000000
0.015497680400
Long
ABS-O
CORP
US
N
2
2036-02-25
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley Finance LLC.
5493003FCPSE9RKT4B56
MS FLOAT 09/29/37
61766YBX8
2014000.00000000
PA
USD
1550780.00000000
0.425903217083
Long
DBT
CORP
US
N
2
2037-09-29
Floating
7.82000100
N
N
N
N
N
N
Mastr Adjustable Rate Mortgages Trust
N/A
MARM 2003-6 2A1
576433GC4
33917.37140000
PA
USD
32089.90000000
0.008813108013
Long
ABS-O
CORP
US
N
2
2033-12-25
Floating
2.11777200
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
549300R1KUK063S4I339
CMLTI 2009-4 7A5
17315EAU7
247818.17330000
PA
USD
239557.06000000
0.065791487205
Long
ABS-O
CORP
US
Y
2
2035-05-25
Floating
5.47804100
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
549300V2DF3KW9L1CV04
WFCM 2013-LC12 B
94988QAQ4
256000.00000000
PA
USD
242162.94000000
0.066507161044
Long
ABS-O
CORP
US
N
2
2046-07-15
Floating
4.30399100
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 07/29/31
61745E3S8
114000.00000000
PA
USD
116280.00000000
0.031934914096
Long
DBT
CORP
US
N
2
2031-07-29
Floating
8.50000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
LBMLT 2003-2 M2
542514DV3
83666.93000000
PA
USD
84360.19000000
0.023168519270
Long
ABS-O
CORP
US
N
2
2033-06-25
Floating
3.85571200
N
N
N
N
N
N
Mastr Seasoned Sec
N/A
MSSTR 2005-1 3A1
55265WCJ0
40219.95160000
PA
USD
35621.24000000
0.009782948395
Long
ABS-O
CORP
US
N
2
2032-10-25
Floating
2.60682100
N
N
N
N
N
N
J.P. Morgan Chase Commercial Mortgage Securities Trust
N/A
JPMCC 2007-LD11 AJ
46631BAK1
673608.99130000
PA
USD
180358.81000000
0.049533394426
Long
ABS-O
CORP
US
N
2
2049-06-15
Floating
5.88487300
N
N
N
N
N
N
Wamu Mortgage Pass-Through CTFS TR
N/A
WAMU 2006-AR2 1A1
92925CDQ2
47202.63470000
PA
USD
46148.81000000
0.012674219840
Long
ABS-O
CORP
US
N
2
2036-03-25
Floating
3.08585200
N
N
N
N
N
N
Merrill Lynch Mortgage Investors, Inc.
N/A
MLMI 2003-A6 1A
5899294G0
36607.06780000
PA
USD
35276.38000000
0.009688236712
Long
ABS-O
CORP
US
N
2
2033-09-25
Floating
2.46407000
N
N
N
N
N
N
Bear Stearns Arm Trust
N/A
BSARM 2004-8 2A1
07384M2E1
52241.55000000
PA
USD
49659.77000000
0.013638463097
Long
ABS-O
CORP
US
N
2
2034-11-25
Floating
3.04384300
N
N
N
N
N
N
Banc America Funding Trust
N/A
BAFC 2006-I 4A1
05951VAH2
863263.60070000
PA
USD
729264.63000000
0.200283826217
Long
ABS-O
CORP
US
N
2
2046-10-20
Floating
3.21407300
N
N
N
N
N
N
Residential Fdg I
N/A
RFMSI 2005-SA4 1A1
76111XYC1
1489.31650000
PA
USD
1462.05000000
0.000401534581
Long
ABS-O
CORP
US
N
2
2035-09-25
Floating
2.28027600
N
N
N
N
N
N
United States Treasury Bills
254900HROIFWPRGM1V77
B 07/28/22
912796S59
10000000.00000000
PA
USD
9986779.20000000
2.742749706329
Long
DBT
UST
US
N
2
2022-07-28
Fixed
0.00000000
N
N
N
N
N
N
CWABS Asset-Backed Certificates Trust 2007-13
N/A
CWL 2007-13 2A1
126698AC3
256692.51000000
PA
USD
243328.16000000
0.066827174809
Long
ABS-O
CORP
US
N
2
2047-10-25
Floating
1.90571000
N
N
N
N
N
N
CSMC TRUST
549300818AKCJ4Q9TD76
CSMC 2014-USA D
12649AAN9
950000.00000000
PA
USD
811607.23000000
0.222898238476
Long
ABS-O
CORP
US
Y
2
2037-09-15
Fixed
4.37330000
N
N
N
N
N
N
Chase Mortgage Financial Trust
N/A
CHASE 2004-S2 2A4
16162WGP8
180403.99500000
PA
USD
176641.96000000
0.048512605937
Long
ABS-O
CORP
US
N
2
2034-02-25
Fixed
5.50000000
N
N
N
N
N
N
Cendant Mortgage Capital Llc
N/A
CDMC 2005-1 A4
15132ELB2
83910.40320000
PA
USD
80510.46000000
0.022111236876
Long
ABS-O
CORP
US
N
2
2035-02-18
Floating
5.10500200
N
N
N
N
N
N
Renaissance Mtg Ac
N/A
RAMC 2002-3 M1
75970NAB3
567175.32090000
PA
USD
538618.55000000
0.147925155873
Long
ABS-O
CORP
US
N
2
2032-12-25
Floating
2.50571200
N
N
N
N
N
N
La Hipotecaria Panamanian Mortgage Trust 2021-1
N/A
LHIPO 2021-1 GA
50347JAA3
986485.28000000
PA
USD
1008187.96000000
0.276886789608
Long
ABS-O
CORP
US
Y
2
2051-06-13
Fixed
4.35000000
N
N
N
N
N
N
Cwalt Incorporation
N/A
CWALT 2005-J11 2A1
12668AJP1
43700.38040000
PA
USD
26498.64000000
0.007277535191
Long
ABS-O
CORP
US
N
2
2035-10-25
Fixed
6.00000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST
N/A
COLT 2020-2 M1
19688JAD9
422000.00000000
PA
USD
417429.87000000
0.114642131404
Long
ABS-O
CORP
US
Y
2
2065-03-25
Floating
5.24999900
N
N
N
N
N
N
Harborview Mtg Loan Trust
N/A
HVMLT 2005-14 2A1A
41161PWT6
56894.03000000
PA
USD
47670.93000000
0.013092251930
Long
ABS-O
CORP
US
N
2
2035-12-19
Floating
2.58092300
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS FLOAT 05/30/34
61760QEG5
287000.00000000
PA
USD
198030.00000000
0.054386575838
Long
DBT
CORP
US
N
2
2034-05-30
Floating
2.44400000
N
N
N
N
N
N
Sequoia Mtg Trust
N/A
SEMT 2013-10 B3
81745GAQ7
959341.35140000
PA
USD
942666.46000000
0.258892091689
Long
ABS-O
CORP
US
Y
2
2043-08-25
Floating
3.53301500
N
N
N
N
N
N
Morgan Stanley Finance LLC.
549300YTG00DJS1TOQ38
MS 10 07/29/36
61766YAF8
215000.00000000
PA
USD
185437.50000000
0.050928196016
Long
DBT
CORP
US
N
2
2036-07-29
Floating
0.00009900
N
N
N
N
N
N
JP Morgan Chase Commercial Mortgage Securities Corp
N/A
JPMCC 2011-C3 E
46635TBD3
193000.00000000
PA
USD
69835.43000000
0.019179467302
Long
ABS-O
CORP
US
Y
2
2046-02-15
Floating
5.52409900
N
N
N
N
N
N
MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST
N/A
MSBAM 2012-C5 AS
61761ABA5
255078.08000000
PA
USD
254663.86000000
0.069940389512
Long
ABS-O
CORP
US
N
2
2045-08-15
Fixed
3.79200000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JPMMT 2006-A4 3A1
46628LAK4
18404.45870000
PA
USD
14402.95000000
0.003955598305
Long
ABS-O
CORP
US
N
2
2036-06-25
Floating
3.27879400
N
N
N
N
N
N
MASTR Alternative Loan Trust
N/A
MALT 2005-2 6A1
576434K29
300340.50000000
PA
USD
248425.05000000
0.068226974812
Long
ABS-O
CORP
US
N
2
2043-03-25
Fixed
5.00000000
N
N
N
N
N
N
RMF BUYOUT ISSUANCE TRUST 2022-HB1
N/A
RBIT 2022-HB1 M3
76970HAD0
250000.00000000
PA
USD
231030.43000000
0.063449750049
Long
ABS-O
CORP
US
Y
2
2032-04-25
Floating
4.50000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
BACR Float 09/13/28
06741TF85
525000.00000000
PA
USD
441000.00000000
0.121115386279
Long
DBT
CORP
GB
N
2
2028-09-13
Floating
0.68424800
N
N
N
N
N
N
CASCADE FUNDING MORTGAGE TRUST
N/A
CFMT 2018-RM2 D
14727QAD7
573541.74000000
PA
USD
553820.56000000
0.152100206470
Long
ABS-O
CORP
US
Y
2
2068-10-25
Fixed
0.00000000
N
N
N
N
N
N
SG Structured Products, Inc.
549300D8JJ608SOIGA98
SOCGEN 0 07/29/31
78423A2D3
185000.00000000
PA
USD
132275.00000000
0.036327749932
Long
DBT
CORP
US
N
2
2031-07-29
Floating
0.44399900
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST I LLC
549300DGLMLNBVBKK655
AOMT 2019-2X B2
U00298AF3
3000000.00000000
PA
USD
2855292.00000000
0.784171867390
Long
ABS-O
CORP
US
Y
2
2049-03-25
Floating
6.28600000
N
N
N
N
N
N
Jefferies Group LLC/Jefferies Group Capital Finance Inc
NY9Q8VBNB6D1L6YV0J84
JEF 10 06/30/37
47233JAQ1
30000.00000000
PA
USD
21300.00000000
0.005849790765
Long
DBT
CORP
US
N
2
2037-06-30
Floating
0.70999900
N
N
N
N
N
N
VERUS SECURITIZATION TRUST
N/A
VERUS 2020-INV1 B2
92537TAH8
100000.00000000
PA
USD
97864.37000000
0.026877281123
Long
ABS-O
CORP
US
Y
2
2060-03-25
Floating
6.00000100
N
N
N
N
N
N
CWMBS Inc
N/A
CWHL 2004-5 2A2
12669FVW0
103534.05780000
PA
USD
104223.39000000
0.028623710066
Long
ABS-O
CORP
US
N
2
2034-05-25
Fixed
5.50000000
N
N
N
N
N
N
Barclays Bank plc
G5GSEF7VJP5I7OUK5573
BACR Float 04/25/34
06741UBA1
58000.00000000
PA
USD
39150.00000000
0.010752080210
Long
DBT
CORP
GB
N
2
2034-04-25
Floating
0.00010100
N
N
N
N
N
N
N/A
N/A
IR3335PJC 1/25/2024
N/A
100000000.00000000
PA
USD
2542870.40000000
0.698369003976
Long
DIR
CORP
N/A
N
2
GOLDMAN SACHS
N/A
N/A
N/A
Y
2024-01-25
0.00000000
USD
0.00000000
USD
100000000.00000000
USD
2542870.40000000
N
N
N
Deutsche Bank AG
N/A
DB FLOAT 10/31/34
25152RXF5
4009000.00000000
PA
USD
2846390.00000000
0.781727039344
Long
DBT
CORP
DE
N
2
2034-10-31
Floating
0.00010100
N
N
N
N
N
N
GS Mortgage Securities Corp
N/A
GSR 2005-4F 6A1
36242DY31
50010.15580000
PA
USD
48447.14000000
0.013305428741
Long
ABS-O
CORP
US
N
2
2035-02-25
Fixed
6.50000000
N
N
N
N
N
N
Student Ln Abs
N/A
SLART 2007-1 3A1
86386VAE4
388905.29000000
PA
USD
375488.45000000
0.103123421009
Long
ABS-O
CORP
US
Y
2
2030-11-27
Floating
1.76785900
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 10/08/34
61760QFB5
238000.00000000
PA
USD
168087.50000000
0.046163225603
Long
DBT
CORP
US
N
2
2034-10-08
Floating
2.86999900
N
N
N
N
N
N
CWMBS Inc
N/A
CWHL 2004-8 1A7
12669FZP1
24107.26000000
PA
USD
23724.97000000
0.006515779832
Long
ABS-O
CORP
US
N
2
2034-07-25
Fixed
5.75000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST
N/A
NRZT 2020-RPL1 B3
64828XAG8
720000.00000000
PA
USD
603934.80000000
0.165863484329
Long
ABS-O
CORP
US
Y
2
2059-11-25
Floating
3.87774700
N
N
N
N
N
N
CWMBS Inc
N/A
CWALT 2003-22CB 1A1
12669FEE9
22437.11390000
PA
USD
21920.72000000
0.006020264105
Long
ABS-O
CORP
US
N
2
2033-12-25
Fixed
5.75000000
N
N
N
N
N
N
First Alliance Mtg Loan Trust
N/A
FAMLT 1999-1 A1
31846LCD6
71983.23000000
PA
USD
71549.35000000
0.019650174973
Long
ABS-O
CORP
US
N
2
2030-06-20
Floating
7.17999800
N
N
N
N
N
N
MASTR Asset Backed Securities Trust
N/A
MABS 2005-NC1 M2
57643LGG5
270058.53200000
PA
USD
263152.68000000
0.072271742604
Long
ABS-O
CORP
US
N
2
2034-12-25
Floating
1.75570900
N
N
N
N
N
N
TOWD POINT MORTGAGE TRUST
N/A
TPMT 2019-MH1 B1
89177WAE9
2500000.00000000
PA
USD
2341782.50000000
0.643142612401
Long
ABS-O
CORP
US
Y
2
2058-11-25
Floating
3.75000100
N
N
N
N
N
N
SPRUCE HILL MORTGAGE LOAN TRUST
N/A
SHMLT 2020-SH1 B2
85209FAF3
100000.00000000
PA
USD
91691.10000000
0.025181866201
Long
ABS-O
CORP
US
Y
2
2050-01-28
Floating
4.67600000
N
N
N
N
N
N
Federal National Mortgage Association
549300HG8ZEWVWVSN227
MCAS 2019-01 M10
62547NAB5
1000000.00000000
PA
USD
929319.50000000
0.255226508433
Long
ABS-O
USGA
US
Y
2
2049-10-15
Floating
4.25571100
N
N
N
N
N
N
EDLINC STUDENT LOAN FUNDING TRUST
N/A
ESLFT 2017-A A
28108RAA0
379706.93700000
PA
USD
362101.90000000
0.099446964831
Long
ABS-O
CORP
US
Y
2
2047-12-01
Floating
2.09999900
N
N
N
N
N
N
Federal Home Loan Mortgage Corporation
N/A
STACR 2020-DNA6 B1
35566CBD6
420000.00000000
PA
USD
378504.80000000
0.103951825533
Long
ABS-O
USGSE
US
Y
2
2050-12-25
Floating
3.58445900
N
N
N
N
N
N
Banc America Mortgage Securitites Inc
9DJT3UXIJIZJI4WXO774
BOAMS 2002-L 1A1
05948JAA0
27113.05000000
PA
USD
22107.99000000
0.006071695575
Long
ABS-O
CORP
US
N
2
2032-12-25
Floating
2.80265400
N
N
N
N
N
N
Citicorp Mortgage Securities Trust
549300ISEJNGWSXAKR30
CMSI 2007-2 APO
173107AP8
80874.23110000
PA
USD
46272.63000000
0.012708225525
Long
ABS-O
CORP
US
N
2
2037-02-25
Fixed
0.00000000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
MS Float 05/31/31
61745ER60
89000.00000000
PA
USD
90780.00000000
0.024931643461
Long
DBT
CORP
US
N
2
2031-05-31
Floating
8.50000000
N
N
N
N
N
N
COREVEST AMERICAN FINANCE TRUST
N/A
CAFL 2019-3 XA
21872NAC4
16996857.66000000
PA
USD
873031.70000000
0.239767736007
Long
ABS-O
CORP
US
Y
2
2052-10-15
Floating
2.05853000
N
N
N
N
N
N
Wf-Rbs Com Mg Tst
N/A
WFRBS 2011-C4 C
92936CAU3
134477.10460000
PA
USD
131659.76000000
0.036158781609
Long
ABS-O
CORP
US
Y
2
2044-06-15
Floating
4.88835400
N
N
N
N
N
N
Banc America Mortgage Securitites Inc
549300IE5TDZLY0T0V30
BOAMS 2005-F 3A1
05949CCD6
55088.03910000
PA
USD
48304.15000000
0.013266158245
Long
ABS-O
CORP
US
N
2
2035-07-25
Floating
2.66155900
N
N
N
N
N
N
Structured Adj Rate Mtg Loan Trust
N/A
SARM 2006-8 3AF
86361JAT7
7985.62430000
PA
USD
7329.12000000
0.002012855328
Long
ABS-O
CORP
US
N
2
2036-09-25
Floating
1.38570800
N
N
N
N
N
N
2022-06-28
James Alpha Funds Trust
Erik Naviloff
Erik Naviloff
Asst Treasurer